Risk Quantification and Allocation Methods for Practitioners.
| Main Author: | |
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| Other Authors: | , |
| Format: | eBook |
| Language: | English |
| Published: |
Amsterdam :
Amsterdam University Press,
2017.
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| Edition: | 1st ed. |
| Series: | Atlantis Studies in Computational Finance and Financial Engineering Series
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| Subjects: | |
| Online Access: | Click to View |
Table of Contents:
- Intro
- Preface
- Contents
- List of Figures
- List of Tables
- Part I Risk Assessment
- Preliminary concepts on quantitative risk measurement
- Risk measurement - Theory
- First definitions
- Properties for risk measures
- Risk measurement - Practice
- `Liability side' versus `asset side' perspectives
- Some misunderstandings to be avoided in practice
- Exercises
- Data on losses for risk evaluation
- An example on three dimensional data
- Basic graphical analysis of the loss severity distributions
- Quantile estimation
- Examples
- A family of distortion risk measures
- Overview on risk measures
- Distortion risk measures
- A new family of risk measures: GlueVaR
- Linear combination of risk measures
- Subadditivity
- Concavity of the distortion function
- Example of risk measurement with GlueVaR
- Exercises
- GlueVaR and other new risk measures
- Analytical closed-form expressions of GlueVaR
- Illustration: GlueVaR expression for Student t distribution
- Analytical expressions for other frequently used distributions
- The Cornish-Fisher approximation of GlueVaR
- On the relationship between GlueVaR and Tail Distortion risk measures
- On the relationship between GlueVaR and RVaR risk measures
- Example
- Exercises
- Risk measure choice
- Aggregate attitude towards risk
- Local risk attitude
- Application of risk assessment in a scenario involving catastrophic losses
- Calibration of GlueVaR parameters
- Data and Results
- GlueVaR to reflect risk attitudes
- Exercises
- Part II Capital Allocation Problems
- An overview on capital allocation problems
- Main concepts and notation
- Properties of capital allocation principles
- Review of some principles
- The gradient allocation principle
- Other capital allocation principles based on partial contributions
- The excess based allocation principle.
- Further reading
- Exercices
- Capital allocation based on GlueVaR
- A capital allocation framework
- The Haircut capital allocation principle
- Proportional risk capital allocation principles using GlueVaR
- Stand-alone proportional allocation principles using GlueVaR
- Proportional allocation principles based on partial contributions using GlueVaR
- An example of risk capital allocation on claim costs
- Exercices
- Capital allocation principles as compositional data
- The simplex and its vectorial and metric structure
- From capital allocation principles to compositional data
- Simplicial concepts applied to capital allocation
- The inverse of a capital allocation
- Ranking capital allocation principles
- Averaging capital allocation principles
- An illustration
- Exercises
- Appendix
- Equivalent expression for the GlueVaR distortion function
- Bijective relationship between heights and weights as parameters for GlueVaR risk measures
- Relationship between GlueVaR and Tail Distortion risk measures
- Bibliography
- Biographies of the authors
- Index.