Distortion risk measures and allocation methodologies
| buir.advisor | Yiğit, Taner | |
| dc.contributor.author | Kurtulan, Ali Burak | |
| dc.date.accessioned | 2016-01-08T18:11:49Z | |
| dc.date.available | 2016-01-08T18:11:49Z | |
| dc.date.issued | 2009 | |
| dc.description | Cataloged from PDF version of article. | en_US |
| dc.description | Includes bibliographical references leaves 43-45. | en_US |
| dc.description.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. | en_US |
| dc.description.statementofresponsibility | Kurtulan, Ali Burak | en_US |
| dc.format.extent | ix, 48 leaves | en_US |
| dc.identifier.uri | http://hdl.handle.net/11693/14981 | |
| dc.language.iso | English | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Risk Capital | en_US |
| dc.subject | Distortion Risk Measures | en_US |
| dc.subject | Capital Allocation | en_US |
| dc.subject.lcc | HD61 .K87 2009 | en_US |
| dc.subject.lcsh | Risk management. | en_US |
| dc.subject.lcsh | Capital. | en_US |
| dc.subject.lcsh | Capital market. | en_US |
| dc.title | Distortion risk measures and allocation methodologies | en_US |
| dc.type | Thesis | en_US |
| thesis.degree.discipline | Economics | |
| thesis.degree.grantor | Bilkent University | |
| thesis.degree.level | Master's | |
| thesis.degree.name | MA (Master of Arts) |
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