Risk Quantification and Allocation Methods for Practitioners.

• Superior document: Atlantis Studies in Computational Finance and Financial Engineering Series
• Author: Belles-Sampera, Jaume.
• TeilnehmendeR: Guillén, Montserrat.; Santolino, Miguel.
• Place / Publishing House: Amsterdam : : Amsterdam University Press,, 2017.; ©2017.
• Year of Publication: 2017
• Edition: 1st ed.
• Language: English
• Series: Atlantis Studies in Computational Finance and Financial Engineering Series
• Physical Description: 1 online resource (169 pages)

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.