Risk contributions and performance measurement

By Dirk Tasche. 2000

298 citations recorded by the source corpus.

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Citations in the corpus

Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (2007, methodology): “6= RORAC(X), the portfolio-wide 1Note that performance measurement by RORAC can be motivated by Markowitz-type risk-return optimization for general risk measures that are homogeneous of any degree τ (see Tasche, 1999, Section 6).”
Coherent allocation of risk capital (2001, background): “In the approach of [18] and [15], the Aumann-Shapley prices are in fact the unique satisfactory allocation principle.”
Conditional Value-at-Risk for General Loss Distributions (2002, background): “of VaR in high-dimensional settings are still not available, despite the substantial efforts that have gone into research in that direction [3, 7, 20, 21, 22, 26, 37, 43].”
TVaR-based capital allocation with copulas (2009, unknown): “hal-00431265, version 1 - 11 Nov 2009 allocation principle has first been introduced by Tasche (1999) where the capital allocated to each risk is expressed in terms of the CTE of the aggregate risk.”
ON A CONVEX MEASURE OF DRAWDOWN RISK (2014, unknown): “Tasche (2000) showed that the first partial derivative is the only definition for risk contribution that is suitable for performance measurement.”
Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (2007, background): “The economic justification of the Euler allocation principle was well discussed in McNeil et al. (2005) Section 6.3.3, addressing issues regarding the signals for performance measurement of Tasche (1999), and the ‘fairness considerations’ of Denault (2001).”
Optimization of conditional value-at risk (2000, methodology): “The optimization model of step 1 of the RRMApproach is solved by an application of the CVaR-optimization approach by Rockafellar/Uryasev [1].”
How Useful is the Marginal Expected Shortfall for the Measurement of Systemic Exposure? A Practical Assessment (2013, unknown): “Recently adapted to systemic risk measurement from an earlier literature on riskmanagement at the firm level (cf. notably Tasche, 2000), the MES of a financial institution is defined as the expected equity loss per dollar invested in this firm if the overall market declines by a certain substantial…”
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall (2004, methodology): “For the sake of completeness, we provide in the Appendix a simple proof akin to the derivation of the sensitivity of the VaR in Gourieroux et al. (2000; see also Tasche 1999).”
Risk Capital allocation by coherent risk measures based on one-sided moments (2003, methodology): “From the works of Denault (2001) and Tasche (2000) it is known that differentiability of risk measures is crucial for risk capital allocation in portfolios.”
Conditional Expectation as Quantile Derivative (2001, background): “More recently, in [15] was shown for general risk measures that their derivatives with respect to the asset weights are the key to the solution of the “capital allocation” problem (see also [4] for the case of “coherent” risk measures).”
Copula based hierarchical risk aggregation through sample reordering (2012, background): “4 in Tasche (1999), marginal allocation is RORAC (Return on Risk adjusted Capital) compatible, whereas”
Expected shortfall and beyond (2002, background): “Moreover, VaR and the risk measure ES to be defined below (Definition 3.2) satisfy the conditions of Proposition 2.5 under quite general assumptions on the joint distribution of (X,Y ) (cf. Tasche, 2000).”
Dynamic capital allocation with distortion risk measures (2004, unknown): “Wang and Dhaene (1998), Embrechts et al.”