Risk based capital allocation

Albrecht, Peter

Preview

PDF
dp03_02.pdf - Published
Download (404kB)

URL:	https://ub-madoc.bib.uni-mannheim.de/2778
URN:	urn:nbn:de:bsz:180-madoc-27783
Document Type:	Working paper
Year of publication:	2003
The title of a journal, publication series:	Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung
Volume:	03-02
Place of publication:	Mannheim
Publication language:	German
Institution:	School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC publication series:	Sonderforschungsbereich 504 > Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung (Laufzeit 1997 - 2008)
Subject:	330 Economics
Subject headings (SWD):	Portfoliomanagement , Bilanzstrukturmanagement , Versicherung , Risiko
Abstract:	The present contribution reviews the procedures (absolute, incremental and marginal capital allocation) as well as the general principles (proportional allocation, covariance-principle, conditional expectation-principle, conditional value-at-risk principle, Euler-principle) for risk based capital allocation. The approaches discussed are applicable for the insurance case, the investment case and as well for credit risks.