Capital allocation and risk contribution with discrete-time coherent risk

Mathematical Finance

Volumn 19, Issue 1, 2009, Pages 13-40

  Cherny, Alexander S ^a,b  

^a MOSCOW STATE UNIVERSITY   (Russian Federation)

^b Department of Probability Theory ^*  (Russian Federation)

Author keywords

Capital allocation; Determining system; Dynamic coherent risk measure; Dynamic weighted V@R; Extreme system; Generator; Risk contribution; Risk metrics

Indexed keywords

EID: 58149519328     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2008.00355.x     Document Type: Article

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