27.16 ERA 2.2 Risk Measures and Capital Allocation - G. Venter

Risk measures

• Moment based

• Tail based (\(VaR\), \(TVaR\), \(XTVaR\), \(EPD\)), see table 18.1

• Probability transform

  • e.g. Esscher (18.1)

• Generalized moments

Allocation of risk measures

• Definitions 18.2

• Proportional

• Co-measures, table 18.3 and 18.2

Allocation method properties:

• Marginal allocation 18.3

  • Scalable risk measures 18.4

• Suitable allocation 18.3

Marginal impact (18.4)