An axiomatic characterization of capital allocations of coherent risk measures

Michael Kalkbrener

Quantitative Finance, 2009, vol. 9, issue 8, 961-965

Abstract: An axiomatic definition of coherent capital allocations is given. It is shown that coherent capital allocations defined by the proposed axiom system are closely linked to coherent risk measures. More precisely, the associated risk measure of a coherent capital allocation is coherent and, conversely, for every coherent risk measure there exists a coherent capital allocation.

Keywords: Capital allocation; Coherent risk measures (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (7)

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DOI: 10.1080/14697680902814266

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