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Capital allocation under the Fundamental Review of Trading Book. (2019). Xing, Hao ; Li, Luting.
In: Papers.
RePEc:arx:papers:1801.07358.

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Cited: 3

Citations received by this document

Cites: 12

References cited by this document

Cocites: 50

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Coauthors: 0

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Citations

Citations received by this document

  1. PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:234:y:2023:i:1:p:353-370.

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  2. Scenario-based risk evaluation. (2021). Ziegel, Johanna F ; Wang, Ruodu.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00460-9.

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  3. A New Approach to Risk Attribution and Its Application in Credit Risk Analysis. (2020). Frei, Christoph.
    In: Risks.
    RePEc:gam:jrisks:v:8:y:2020:i:2:p:65-:d:371982.

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References

References cited by this document

  1. Basel Committee on Banking Supervision. Fundamental Review of the Trading Book - Interim Impact Analysis. BCBS, 2015.
    Paper not yet in RePEc: Add citation now
  2. Basel Committee on Banking Supervision. Minimum Capital Requirements for Market Risk. BCBS, 2016. CAPITAL ALLOCATION UNDER FRTB 23
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  3. Basel Committee on Banking Supervision. Revisions to the Basel II Market Risk Framework. BCBS, 2009.
    Paper not yet in RePEc: Add citation now

  4. Dirk Tasche. Capital allocation to business units and sub-portfolios: the euler principle. Pillar II in the New Basel Accord: The Challenge of Economic Capital, pages 423–453, 2008.

  5. Dirk Tasche. Risk contributions and performance measurement. Report of the Lehrstuhl für mathematische Statistik, TU München, 1999.
    Paper not yet in RePEc: Add citation now
  6. Eduardo Epperlein and Alan Smillie. Portfolio risk analysis cracking var with kernels. Risk Magazine, 19(8):70, 2006.
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  7. L. S. Shapley. A value for n-person games. In Contributions to the theory of games, vol. 2, Annals of Mathematics Studies, no. 28, pages 307–317. Princeton University Press, Princeton, N. J., 1953.
    Paper not yet in RePEc: Add citation now
  8. Michel Denault. Coherent allocation of risk capital. Journal of risk, 4:1–34, 2001.
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  9. Robert J Aumann and Lloyd S Shapley. Values of non-atomic games. Princeton University Press, 1974.
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  10. Robert Litterman. Hot spots? and hedges. The Journal of Portfolio Management, 23(5):52–75, 1996.
    Paper not yet in RePEc: Add citation now
  11. Yadong Li, Marco Naldi, Jeffrey Nisen, and Yixi Shi. Organising the allocation. Risk Magazine, 2016.
    Paper not yet in RePEc: Add citation now

  12. Yasuhiro Yamai, Toshinao Yoshiba, et al. Comparative analyses of expected shortfall and value-at-risk: their estimation error, decomposition, and optimization. Monetary and economic studies, 20(1):87–121, 2002. (Luting Li) Market Risk Analytics, Citigroup, N.A., London, UK, Email: luting.li@citi.com (Hao Xing) Department of Statistics, London School of Economics and Political Science, London, UK, Email: h.xing@lse.ac.uk

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  5. A New Approach to Risk Attribution and Its Application in Credit Risk Analysis. (2020). Frei, Christoph.
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  6. Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2020). Hofert, Marius ; Koike, Takaaki.
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  14. Capital allocation under the Fundamental Review of Trading Book. (2019). Xing, Hao ; Li, Luting.
    In: Papers.
    RePEc:arx:papers:1801.07358.

    Full description at Econpapers || Download paper

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