Properties of risk capital allocation methods : Core Compatibility , Equal Treatment Property and Strong Monotonicity Dóra Balog – Tamás László Bátyi

In finance risk capital allocation raises important questions both from theoretical and practical points of view. How to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to assign this to different business units? We use an axiomatic approach to examine risk capital allocation, that is we call… CONTINUE READING