Risk based capital allocation

Peter Albrecht

No 03-02, Papers from Sonderforschungsbreich 504

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.

Date: 2003
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