اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدSuitability of Capital Allocations for Performance Measurement
132
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement framework. We introduce the notation of suitability of allocations for performance measurement and show under different assumptions on the involved reward and risk measures that there exist suitable allocation methods. The existence of certain suitable allocation principles generally is given under rather strict assumptions on the underlying risk measure. Therefore we show, with a reformulated definition of suitability and in a slightly modified setting, that there is a known suitable allocation principle that does not require any properties of the underlying risk measure. Additionally we extend a previous characterization result from the literature from a mean-risk to a reward-risk setting. Formulations of this theory are also possible in a game theoretic setting.
قيم البحث
اقرأ أيضاً
We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a collection of probability measures, relating our approach to dual sets in
the representation of coherent risk measures. We provide results that guarantee the existence of a solution and explore the properties of minimizer and minimum as risk and deviation measures, respectively. An empirical illustration is carried out to demonstrate the use of our approach in capital determination.
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Ga
mma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the profit requirem
ent that is asked to the trading desk. In the following we try to delineate a possible way to assess the impact of capital constraints in the valuation of a deal. We resort to an optimisation stemming from an indifference pricing approach, and we study both the linear problem from the point of view of the whole bank and the non-linear problem given by the viewpoint of shareholders. We also consider the case where one optimises the median rather than the mean statistics of the profit and loss distribution.
The 2008 mortgage crisis is an example of an extreme event. Extreme value theory tries to estimate such tail risks. Modern finance practitioners prefer Expected Shortfall based risk metrics (which capture tail risk) over traditional approaches like v
olatility or even Value-at-Risk. This paper provides a quantum annealing algorithm in QUBO form for a dynamic asset allocation problem using expected shortfall constraint. It was motivated by the need to refine the current quantum algorithms for Markowitz type problems which are academically interesting but not useful for practitioners. The algorithm is dynamic and the risk target emerges naturally from the market volatility. Moreover, it avoids complicated statistics like generalized pareto distribution. It translates the problem into qubit form suitable for implementation by a quantum annealer like D-Wave. Such QUBO algorithms are expected to be solved faster using quantum annealing systems than any classical algorithm using classical computer (but yet to be demonstrated at scale).
The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explore its properties. In line with current regulatory frameworks, the app
roach presented is based on a hypothetical transfer of the original liability and a replicating portfolio to an empty corporate entity whose owner must comply with repeated one-period capital requirements but has the option to terminate the ownership at any time. The value of the liability is defined as the no-arbitrage price of the cash flow to the policyholders, optimally stopped from the owners perspective, taking capital requirements into account. The value is computed as the solution to a sequence of coupled optimal stopping problems or, equivalently, as the solution to a backward recursion.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
