Optimal capital allocation with copulas

Hacettepe Journal of Mathematics and Statistics ◽

10.15672/hjms.20174620776 ◽

2017 ◽

Vol 1 (46) ◽

Author(s):

Xie Jie-hua

Keyword(s):

Capital Allocation ◽

Optimal Capital ◽

Optimal Capital Allocation

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A new approach to optimal capital allocation for RORAC maximization in banks

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2019.06.006 ◽

2019 ◽

Vol 106 ◽

pp. 153-165 ◽

Author(s):

Woo-Young Kang ◽

Sunil Poshakwale

Keyword(s):

Capital Allocation ◽

New Approach ◽

Optimal Capital ◽

Optimal Capital Allocation

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Optimal Capital Allocation in a Hierarchical Corporate Structure

SSRN Electronic Journal ◽

10.2139/ssrn.2304954 ◽

2013 ◽

Author(s):

Yaniv Zaks ◽

Andreas Tsanakas

Keyword(s):

Capital Allocation ◽

Corporate Structure ◽

Optimal Capital ◽

Optimal Capital Allocation

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Optimal Capital Allocation in Banking

SSRN Electronic Journal ◽

10.2139/ssrn.675082 ◽

2004 ◽

Author(s):

Neal M. Stoughton ◽

Josef Zechner

Keyword(s):

Capital Allocation ◽

Optimal Capital ◽

Optimal Capital Allocation

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Optimal capital allocation using RAROC™ and EVA®

Journal of Financial Intermediation ◽

10.1016/j.jfi.2006.12.004 ◽

2007 ◽

Vol 16 (3) ◽

pp. 312-342 ◽

Author(s):

Neal M. Stoughton ◽

Josef Zechner

Keyword(s):

Capital Allocation ◽

Optimal Capital ◽

Optimal Capital Allocation

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Some topics in risk theory and optimal capital allocation problems

10.5353/th_b4819929 ◽

2012 ◽

Author(s):

Binbin Liu

Keyword(s):

Capital Allocation ◽

Risk Theory ◽

Allocation Problems ◽

Optimal Capital ◽

Optimal Capital Allocation

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Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios

Scandinavian Actuarial Journal ◽

10.1080/03461230902753507 ◽

2009 ◽

Vol 2009 (4) ◽

pp. 295-305 ◽

Author(s):

Esther Frostig ◽

Michel Denuit

Keyword(s):

Capital Allocation ◽

Ruin Probabilities ◽

Life Annuity ◽

Optimal Capital ◽

Optimal Capital Allocation

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Solvency II: Market Risk, SCR Computations and Optimal Capital Allocation

SSRN Electronic Journal ◽

10.2139/ssrn.1647869 ◽

2010 ◽

Author(s):

Matthieu Leblanc

Keyword(s):

Market Risk ◽

Capital Allocation ◽

Solvency Ii ◽

Optimal Capital ◽

Optimal Capital Allocation

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Optimal Capital Allocation Using RAROC and EVA

SSRN Electronic Journal ◽

10.2139/ssrn.118208 ◽

1998 ◽

Author(s):

Neal M. Stoughton ◽

Josef Zechner

Keyword(s):

Capital Allocation ◽

Optimal Capital ◽

Optimal Capital Allocation

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Optimal capital allocation based on the Tail Mean–Variance model

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2013.08.005 ◽

2013 ◽

Vol 53 (3) ◽

pp. 533-543 ◽

Author(s):

Maochao Xu ◽

Tiantian Mao

Keyword(s):

Capital Allocation ◽

Variance Model ◽

Optimal Capital ◽

Optimal Capital Allocation ◽

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Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2021.06.005 ◽

2021 ◽

Author(s):

Jun Cai ◽

Ying Wang

Keyword(s):

Capital Allocation ◽

Corporate Structure ◽

Optimal Capital ◽

Optimal Capital Allocation

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