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Quantifying optimal capital allocation principles based on risk measures

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Název: Quantifying optimal capital allocation principles based on risk measures
Autoři: Urbina Calero, Jilber Andrés
Přispěvatelé: Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa, Guillén, Montserrat
Informace o vydavateli: Universitat Politècnica de Catalunya
Universitat de Barcelona
Rok vydání: 2013
Sbírka: Universitat Politècnica de Catalunya, BarcelonaTech: UPCommons - Global access to UPC knowledge
Témata: Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica, Mathematical statistics, Expected shortfall, Risk management, Value-at-Risk, Allocation Principles, Optimal Capital Allocations, Estadística matemàtica--Aplicacions, Classificació AMS::62 Statistics::62P Applications
Popis: In this thesis we address the issue of covering risks by allocating capital and solving the so-called allocation problem. For this purpose, we provide functional closed-forms representations for each allocation principle built under the general framework developed by Dhaene et. al. 2012. Furthermore, we assess the "correlation effect" which is considered to be the effect of changes in the allocated capital when changing the correlation between the losses, this effect arises when the sources of risk have different variances, otherwise correlations does not play any role in capital allocation results. We develop an R package called OCA which computes optimal Capital Allocations based on some standard principles such as Haircut, Overbeck type II and the Covariance Allocation Principle. Also it provides some functionalities for estimating two of the most popular risk measures: Value at Risk and Expectation Shortfall. Es tracta de aplicar els procediments de assignació de capital més avançats i descrits a l'article de Dhaene et al. (2011) Journal of Risk and Insurance , amb una base de dades de risc operacional. Es té per objectiu construir un package de R per a aquest finalitat
Druh dokumentu: master thesis
Popis souboru: application/pdf
Jazyk: English
Relation: http://hdl.handle.net/2099.1/19443
Dostupnost: http://hdl.handle.net/2099.1/19443
Rights: Open Access
Přístupové číslo: edsbas.6C41DA40
Databáze: BASE
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PubType: Dissertation/ Thesis
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  Data: Quantifying optimal capital allocation principles based on risk measures
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  Data: Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa<br />Guillén, Montserrat
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  Data: Universitat Politècnica de Catalunya<br />Universitat de Barcelona
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  Data: 2013
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  Data: In this thesis we address the issue of covering risks by allocating capital and solving the so-called allocation problem. For this purpose, we provide functional closed-forms representations for each allocation principle built under the general framework developed by Dhaene et. al. 2012. Furthermore, we assess the "correlation effect" which is considered to be the effect of changes in the allocated capital when changing the correlation between the losses, this effect arises when the sources of risk have different variances, otherwise correlations does not play any role in capital allocation results. We develop an R package called OCA which computes optimal Capital Allocations based on some standard principles such as Haircut, Overbeck type II and the Covariance Allocation Principle. Also it provides some functionalities for estimating two of the most popular risk measures: Value at Risk and Expectation Shortfall. Es tracta de aplicar els procediments de assignació de capital més avançats i descrits a l'article de Dhaene et al. (2011) Journal of Risk and Insurance , amb una base de dades de risc operacional. Es té per objectiu construir un package de R per a aquest finalitat
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      – Text: English
    Subjects:
      – SubjectFull: Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica
        Type: general
      – SubjectFull: Mathematical statistics
        Type: general
      – SubjectFull: Expected shortfall
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      – SubjectFull: Risk management
        Type: general
      – SubjectFull: Value-at-Risk
        Type: general
      – SubjectFull: Allocation Principles
        Type: general
      – SubjectFull: Optimal Capital Allocations
        Type: general
      – SubjectFull: Estadística matemàtica--Aplicacions
        Type: general
      – SubjectFull: Classificació AMS::62 Statistics::62P Applications
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      – TitleFull: Quantifying optimal capital allocation principles based on risk measures
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