Distortion risk measures and allocation methodologies

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buir.advisorYiğit, Taner
dc.contributor.authorKurtulan, Ali Burak
dc.date.accessioned2016-01-08T18:11:49Z
dc.date.available2016-01-08T18:11:49Z
dc.date.issued2009
dc.descriptionAnkara : The Department of Economics and the Institute of Economics and Social Sciences of Bilkent University, 2009.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2009.en_US
dc.descriptionIncludes bibliographical references leaves 43-45.en_US
dc.description.abstractThis 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.en_US
dc.description.provenanceMade available in DSpace on 2016-01-08T18:11:49Z (GMT). No. of bitstreams: 1 0003949.pdf: 407704 bytes, checksum: 897e89186bb3a75f066c2f51a3a9af87 (MD5)en
dc.description.statementofresponsibilityKurtulan, Ali Buraken_US
dc.format.extentix, 48 leavesen_US
dc.identifier.urihttp://hdl.handle.net/11693/14981
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectRisk Capitalen_US
dc.subjectDistortion Risk Measuresen_US
dc.subjectCapital Allocationen_US
dc.subject.lccHD61 .K87 2009en_US
dc.subject.lcshRisk management.en_US
dc.subject.lcshCapital.en_US
dc.subject.lcshCapital market.en_US
dc.titleDistortion risk measures and allocation methodologiesen_US
dc.typeThesisen_US
thesis.degree.disciplineEconomics
thesis.degree.grantorBilkent University
thesis.degree.levelMaster's
thesis.degree.nameMA (Master of Arts)

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