A New Approach to Risk Attribution and Its Application in Credit Risk Analysis
Clicks: 204
ID: 109952
2020
Article Quality & Performance Metrics
Overall Quality
Improving Quality
0.0
/100
Combines engagement data with AI-assessed academic quality
Reader Engagement
Emerging Content
4.8
/100
16 views
16 readers
Trending
AI Quality Assessment
Not analyzed
Abstract
How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler principle to attribute risk to its driving factors when these factors affect losses in a nonlinear way. The method splits loss contributions over time and is straightforward to implement. We show in an example how this risk decomposition can be applied in the context of credit risk.
| Reference Key |
frei2020risksa
Use this key to autocite in the manuscript while using
SciMatic Manuscript Manager or Thesis Manager
|
|---|---|
| Authors | Christoph Frei;Frei, Christoph; |
| Journal | risks |
| Year | 2020 |
| DOI |
10.3390/risks8020065
|
| URL | |
| Keywords |
Citations
No citations found. To add a citation, contact the admin at info@scimatic.org
Comments
No comments yet. Be the first to comment on this article.