capital allocation
CAS: Capital Allocation by Percentile Layer
... on capital is a cost that accrues on the total firm level, and Kreps (2005) has clarified that capital allocation is really the allocation of the required rate of return on ...locating ...
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Capital allocation for portfolios with non-linear risk aggregation
... to capital constraints (we do not investigate here limita- tions in the demand for ...the capital allocation is only considered as giving possible signals for re-balancing the ...Euler ...
33
Dynamic capital allocation with distortion risk measures
... the allocation of risk capital to portfolios of pooled liabilities, when distortion risk measures (Wang et ...structures, capital allocation and pricing, as well as dropping a restrictive ...
45
Risk capital allocation and cooperative pricing of insurance liabilities
... allocated capital as an expectation under an adjusted probability measure, in order to draw a parallel between capital allocation and insurance pricing ...
34
To split or not to split: Capital allocation with convex risk measures
... The capital allocation should recognise this by allocating to each subporfolio the amount equal to its stand-alone risk (note that this is a form of the additivity over games property in game theory, see ...
37
Economic capital allocation under liquidity constraints
... an allocation principle is proposed which, instead of accounting for stochastic dependencies, focuses on agency costs due to discrepancies in the expectations kept by central and divisional ...of capital ...
11
To split or not to split: capital allocation with convex risk measures
... The capital allocation should recognise this by allocating to each subporfolio the amount equal to its stand-alone risk (note that this is a form of the additivity over games property in game theory, see ...
29
Optimal capital allocation in a hierarchical corporate structure
... consider capital allocation in a hierarchical corporate structure where stakeholders at two organizational levels ...risk. Capital allocation is considered as the solution to an optimization ...
19
Changes in capital allocation practices – ERM and organisational change
... the capital allocation process because of the lack of the software that supports the need for having risk information and the access to real-time information alongside historical ...allocate capital ...
17
An application of capital allocation principles to operational risk
... different capital allocations must in some sense correspond to different questions that can be asked within the context of risk management” and this is the main focus of the [16] becomes a key reference for ...
31
Efficiency of Internal Capital Allocation and the Success of Acquisitions
... internal capital allocation (ICM) efficiency as a proxy for the efficiency of internal investment; therefore our sample consists of multi-segment acquirers who have announced acquisitions between years 1986 ...
95
Stock Options and Internal Capital Allocation Decisions
... internal capital markets, research remains inconclusive as to whether internal capital markets are efficient in allocating funds across firms' ...internal capital allocation decisions are ...
24
Financial Frictions on Capital Allocation: A Transmission Mechanism of TFP Fluctuations
... more capital in boom than those in the bottom quintiles do, while the opposite is true for ...of capital acquisition to earnings forecast is monotonically increasing in the likelihood of being …nancial ...
59
Optimal capital allocation principles
... aggregate capital of a company to its different business ...make capital allocation a non-trivial ...proposed capital allocation ...for capital allocation in the insurance ...
25
Capital Allocation Efficiency, SOEs Reform and China’s Economic Growth
... factors allocation efficiency within the ...poor allocation efficiency, blindly promoting the reform of state-owned enterprises ownership cannot effectively alleviate the problem of efficiency ...the ...
9
Capital Allocation Efficiency, SOEs Reform and China’s Economic Growth
... the capital allocation ...the capital allocation efficiency between state-owned and private ...the capital allocation efficiency among state-owned enterprises is low, and the ...
10
CAS: Capital Allocation in the Property-Liability Insurance Industry
... of capital allocation is for risk ...this capital by, for lines of business, adding the underwriting income to a risk-free invest- ment times the allocated capital and dividing the total by ...
17
CAS: TMV-Based Capital Allocation for Multivariate Risks
... of capital allocations for the comonotonic ...optimal capital allocation rule based on Model ...optimal capital allocations for any dependence struc- ture by considering only the magnitude of ...
18
Capital Allocation of Governance Actors
... about Capital Allocation does not show a lot of conflicting objectives, but rather consensual goals, there are no targets that divide actors (between those in favor and those opposed to these objectives ), ...
7
Risk Measures and Capital Allocation
... The capital allocation problem is that once the total risk capital for a multi-unit financial insti- tution (or a combination of different portfolios) is computed based on a specific risk measure, ...
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