Risk based capital allocation


Albrecht, Peter


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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.
Additional information:

Dieser Eintrag ist Teil der Universitätsbibliographie.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Albrecht, Peter (2003) Risk based capital allocation. Open Access Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung Mannheim 03-02 [Working paper]
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