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Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
Company: University of Haifa
Year Of Publication: 2005
Month Of Publication: March
Pages: 15
Download Count: 2
View Count: 1449
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-2-2010
Publisher: Administrator
Summary
This paper examines risk measures in the case of a
multivariate gamma portfolio. We demonstrate the explicit formulas
for tail conditional expectation and based on it capital allocation when the proposed multivariate model consists of dependent and independent gamma marginals. Financial enterprises are always concerned of fairly allocating the total risk capital to these constituents. Consequently, this work is particularly meaningful in practice in the case of computing capital requirements for an institution who may have several lines of correlated business and whose data is distributed multivariate gamma model considered here.
Author(s)
Landsman, Zinoviy Sign in to follow this author
Furman, Edward Sign in to follow this author
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