AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS
نویسندگان
چکیده
منابع مشابه
Risk Measures , Risk Aggregation and Capital Allocation
We consider risk measures, risk aggregation and capital allocation in these lecture notes and build on our earlier introduction to Value-at-Risk (VaR) and Expected Shortfall (ES). We will follow Chapter 8 of the 2 edition of Quantitative Risk Management by MFE quite closely. This chapter, however, contains considerably more material than we will cover and it should be consulted if further detai...
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Alternative specifications of univariate asymmetric Laplace models are described and investigated. A more general mixture model is then introduced. Bivariate extensions of these models are discussed in some detail, with particular emphasis on associated parameter estimation strategies. Multivariate versions of the models are briefly introduced.
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In 1999 Artzner et al. proposed a list of properties that any good risk measure should have and this list gave rise to the concept of coherent and incoherent measures of risk. Since then a substantial body of research has developed on the theoretical properties of risk measures and we describe some of these results here. Let M denote the space of random variables representing portfolio losses o...
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ژورنال
عنوان ژورنال: Probability in the Engineering and Informational Sciences
سال: 2017
ISSN: 0269-9648,1469-8951
DOI: 10.1017/s0269964817000377