Risk Budgets

Olivier Le Courtois and Christian Walter ()

Chapter 9 in Extreme Financial Risks and Asset Allocation, 2014, pp 227-252 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This chapter presents the main risk measures used for the assessment of risk budgets, and their practical computation. We first recall the conceptual framework within which risk measures are defined. We then highlight the importance of probabilistic hypotheses for the construction of risk measures. Finally, we examine these measures, and the numerical methods that allow us to compute them. This chapter concludes with examples of computations using Laplace processes, in calendar or in modified time, and with alpha-stable motions…

Keywords: Lévy Process; Extreme Risks; Risk Management; Portfolio Management; Asset Allocation (search for similar items in EconPapers)
Date: 2014
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