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      • Bilkent Theses
      • Theses - Department of Economics
      • Dept. of Economics - Master's degree
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      Distortion risk measures and allocation methodologies

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      Author
      Kurtulan, Ali Burak
      Advisor
      Yiğit, Taner
      Date
      2009
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
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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.
      Keywords
      Risk Capital
      Distortion Risk Measures
      Capital Allocation
      Permalink
      http://hdl.handle.net/11693/14981
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      • Dept. of Economics - Master's degree 290
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