Kapitel in diesem Buch

1. Frontmatter i
2. Preface v
3. Contents ix
4. PART I RISK ASSESSMENT
5. 1 Preliminary concepts on quantitative risk measurement 1
6. 2 Data on losses for risk evaluation 29
7. 3 A family of distortion risk measures 35
8. 4 GlueVaR and other new risk measures 51
9. 5 Risk measure choice 65
10. PART II CAPITAL ALLOCATION PROBLEMS
11. 6 An overview on capital allocation problems 83
12. 7 Capital allocation based on GlueVaR 113
13. 8 Capital allocation principles as compositional data 123
14. Appendix 137
15. Bibliography 141
16. Biographies of the authors 149
17. Index 151