Weighted Risk Capital Allocations in the Presence of Systematic Risk

Determining aggregate risk capital is a fundamental problem of modern Enterprise Risk Management, and the determination process has been fairly well studied. The allocation problem, on the other hand, is generally much more involved even when a specific risk measure inducing the allocation rule is assumed, let alone the case when a class of risk measures is considered. In this talk I put forward arguments showing that the problems of determining and allocating the aggregate risk capital can often be viewed as being of similar complexity. In particular, I show that this is the case for the entire class of weighted risk capital allocations, as well as for risk portfolios that are exposed to systematic and specific risk factors.

Date and Time: 

Wednesday, June 6, 2018 - 10:20 to 10:50

Co-authors (not including you): 

Alexey Kuznetsov
York University
Ricardas Zitikis
Western University

Language of Oral Presentation: 

English

Language of Visual Aids: 

English

Type of Presentation: 

Invited

Session: 

Speaker

First Name Middle Name Last Name Primary Affiliation
Edward Furman York University