Abstract Risk aggregation and capital allocation are of paramount importance in business, as they play critical roles pricing, risk management, project financing, performance regulatory supervision, etc. The state-of-the-art practice often includes two steps: (i) determine standalone requirements for individual business lines aggregate them at a corporate level; (ii) allocate the total back to ...

This paper makes the point on a well known property of capital allocation rules, namely one called no-undercut. Its desirability in stems from some stability game theoretical features that are related to notion core, both for finite and infinite games. We review these aspects, by relating them properties risk measures involved problems. also discuss problems possible extensions arise when we de...

Abstract The federal mortgage policy, the conforming loan limit (CLL), was spatially uniform before 2008 crisis, despite remarkable heterogeneity across geography. I show that in areas experienced a larger decline jumbo share following an increase CLL, lenders raised approval rates, lowered rates to defend short-term market share, extended credit riskier borrowers, and incurred deteriorated ass...

This paper mainly uses Markowitz asset portfolio model to demonstrate the impact of different market rules (allowing and not allowing short selling) on investment returns risks, gives suggestions through this model, judges difference risks under conditions. In 10 companies known four industry premise nearly 20 years stock data, using data behalf medium long term monthly Excel Solver econometric...