Distortion risk measures and allocation methodologies
Author
Kurtulan, Ali Burak
Advisor
Yiğit, Taner
Date
2009Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
This study reviews the commonly used risk measures and allocation
methodologies for risk capital. The method proposed by Tsanakas (2004) about
dynamic capital allocation with distortion risk measures analyzed and for the cases
when the events on which the liability processes are conditioned have zero
probability, a new k-number approach is proposed which helps to behave risk-averse
when correlations among liabilities are not accurate.