风险措施的资本配置:数值和比较研究

Risk Management Magazine Pub Date : 1900-01-01 DOI:10.47473/2020rmm0026

G. Canna, F. Centrone, Emanuela Rosazza Gianin

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引用次数: 0

摘要

本文简要介绍了利用风险测度进行资本配置的问题，并通过风险价值、条件风险价值和熵风险测度将一些最流行的资本配置方法应用于风险头寸组合。然后讨论并比较数值算例中的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Capital allocations for risk measures: a numerical and comparative study

In this paper we make a short survey on the problem of Capital Allocation through the use of risk measures and we apply some of the most popular Capital Allocation methods to a portfolio of risky positions by using Value at Risk, Conditional Value at Risk and the entropic risk measure. We then discuss and compare the results found in our numerical example.

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Risk Management Magazine

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