AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

By Michael Kalkbrener. 2005

284 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/001333fa3fa27a1103b2dccd12005ccd054b3aa5

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Citations in the corpus

ON A CONVEX MEASURE OF DRAWDOWN RISK (2014, unknown): “In Kalkbrener (2005), and with a more game-theoretic approach in Denault (2001), an axiomatic system for capital allocation is uniquely and completely satisfied by risk contributions.”
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (2007, background): “• Kalkbrener (2005) presented an axiomatic approach to capital allocation and risk contributions.”
Sensible and Efficient Capital Allocation for Credit Portfolios (2003, background): “5We refer to Kalkbrener (2002) for proofs of the results presented in the following subsection.”
Pricing with Coherent Risk (2006, background): “in [15]. In the present paper, we provide a solution of the capital allocation problem in terms of extreme measures (Theorem 2.12). Let us remark that this problem was considered in [21], [24], [28], [39], [44], and [53]. Parallel with the measurement of outstanding risks, a very important problem i”
To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007, unknown): “Capital allocations derived from the Aumann-Shapley value were discussed in the risk management literature by Denault (2001) who mainly deals with the special case of coherent risk measures, which is also the focus of Kalkbrenner (2005). Remark 1: In the case of coherent risk measures, the positive ”
On the Impossibility of Fair Risk Allocation (2010, background): “Kalkbrener (2005) shows that Linear Aggregation, Diversification and Continuity characterizes the gradient principle (or Euler method, where risk is allocated as a result of slightly increasing the weight of all the divisions) to be the only allocation which satisfies those requirements.”
Optimal Capital Allocation Principles (2005, unknown): “In closely related works, marginal (‘Euler’) capital allocations are proposed within a portfolio optimisation context by Tasche (2004) and an axiomatic allocation system is proposed by Kalkbrener (2005).”
Measuring Marginal Risk Contributions in Credit Portfolios (2005, unknown): “(Other approaches to IS for credit risk are discussed in Kalkbrener et al. [11] and Morokoff [17].)”
Risk factor contributions in portfolio credit risk models (2010, background): “This condition features in axiomatizations of capital contributions, e.g. Kalkbrener (2005), as well as the interpretation of the Euler allocation rule in terms of the theory of cooperative games, e.g. Denault (2001) or 4 This equation relies on our assumption that loss-given-default adjusted…”