Kurtulan, Ali Burak2016-01-082016-01-082009http://hdl.handle.net/11693/14981Ankara : The Department of Economics and the Institute of Economics and Social Sciences of Bilkent University, 2009.Thesis (Master's) -- Bilkent University, 2009.Includes bibliographical references leaves 43-45.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.ix, 48 leavesEnglishinfo:eu-repo/semantics/openAccessRisk CapitalDistortion Risk MeasuresCapital AllocationHD61 .K87 2009Risk management.Capital.Capital market.Thesis