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Importance of Modelling the Dependence for Risk Capital Allocation Abstract

Yıl 2015, Cilt: 8 Sayı: 1, 1 - 9, 27.06.2015

Öz

Portfolio managers’ first concern is the accuracy of the measurement and the allocation of the risk of the

portfolio. There exists many risk measures in the literature which provide a solution to the former

problem. On the other hand, risk capital allocation provides an efficient portfolio management. It

distributes the diversification benefits among the sub-portfolios. It is known that one of the important

steps of the risk management is the determination of the dependence structure of sub-portfolios. Copula

provides a nice and easy solution to this problem. In this study it is shown that the dependence structure

plays an important role for risk capital allocation and inaccurate selection of copula can create

ineffective allocations

Kaynakça

  • J. D. Cummins, 2000, Allocation of capital in the insurance industry, Risk Management & Insurance Review, 3, 7-27.
  • M. Denault, 2001, Coherent allocation of risk capital, Journal of Risk, 4-1, 7-21.
  • J. Dhaene, A. Tsanakas, E. A. Valdez, and S. Vanduffel, 2012, Optimal capital allocation principles, Journal of Risk and Insurance, 79-1, 1-28.
  • K. Dowd and D. Blake, 2006, Discussion paper pi-0603 after var: The theory, estimation and insurance applications of quantile-based risk measures, Technical report, The Pensions Institute.
  • P. Embrechts, Lindskog F., and A. McNeil, 2002, Modelling Dependence with Copulas and Applications to Risk Management, In Handbook of Heavy Tailed Distributions in Finance, ed. S. Rachev. Elsevier, Chapter 8, 329-384.
  • T. Fischer, 2003, Risk capital allocation by coherent risk measures based on one-sided moments, Insurance: Mathematics and Economics, 32-1,135-146.
  • K. A. Froot and J. C. Stein, 1998, Risk management, capital budgeting, and capital structure policy for financial institutions: in integrated approach, Journal of Financial Economics, 47, 55-82.
  • M. Kalkbrener, 2005, An axiomatic approach to capital allocation, Mathematical Finance, 15-3, 425-437.
  • U. Karabey, 2015, Risk Capital Allocation and Sensitivity Analysis in Non-Life Insurance Companies, IJSE International Journal of Statistics and Economics, 16-3.
  • U. Karabey, 2012, Risk Measures and Risk Capital Allocation, Đstatistikçiler Dergisi, 5, 32-42.
  • R. C. Merton and A. Perold, 1993, Theory of risk capital in financial firms, Journal of Applied Corporate Finance, 6, 16-32
  • S. C. Myers and J. A. Read, 2001, Capital allocation for insurance companies, Journal of Risk and Insurance, 68, 545-580.
  • R. R. Nelsen, 1999, An Introduction to Copulas, Springer, New-York.
  • L. Overbeck, 2000, Allocation of economic capital in loan portfolios. In Measuring Risk in Complex Stochastic Systems, W. Hardle & G. Stahl, Berlin.
  • F. Saita, 1999, Allocation of risk capital in financial institutions, Financial Management, 28, 95-111.
  • D. Tasche, 1999, Risk contributions and performance measurement, Technical report, Research paper, Zentrum Mathematik (SCA).
  • M. Urban, J. Dittrich, C. Klüppelberg and R. Stölting, 2004, Allocation of risk capital to insurance portfolios, Blatter DGVFM Deutsche Gesellschaft fur versicherungs und finanzmathematike, V. XXVI, 3, 389-406.
  • G. G. Venter, 2002, Tails of copulas, Proceedings of the Casualty Actuarial Society, LXXXIX, 68–113

Risk Sermayesi Dağıtımında Bağımlılık Modellemesinin Önemi

Yıl 2015, Cilt: 8 Sayı: 1, 1 - 9, 27.06.2015

Öz

 Portföy yöneticilerinin en önemli kaygılarından biri portföy risklerinin ölçümünün ve bu risklerin

dağıtımının doğruluğudur. Literatürde birçok risk ölçümü ilk soruna çözüm üretmektedir. Diğer taraftan
risk sermayesi dağıtımı, çesitlendirmeden kaynaklanan faydaları portföye dağıtarak etkin bir portföy
yönetimi sağlar. Bilindiği gibi risk yönetiminde en önemli adımlardan biri portföyün bağımlılık
modellemesidir. Copula bağımlılık modellemesinde etkin ve kullanıslı bir yöntemdir. Bu çalısmada
bağımlılık modellemesinin risk sermayesi dağıtımında çok önemli bir rol oynadığı ve uygun olmayan
copula seçiminin etkin olmayan risk sermayesi dağıtımına yol açabileceği gösterilmistir.

Kaynakça

  • J. D. Cummins, 2000, Allocation of capital in the insurance industry, Risk Management & Insurance Review, 3, 7-27.
  • M. Denault, 2001, Coherent allocation of risk capital, Journal of Risk, 4-1, 7-21.
  • J. Dhaene, A. Tsanakas, E. A. Valdez, and S. Vanduffel, 2012, Optimal capital allocation principles, Journal of Risk and Insurance, 79-1, 1-28.
  • K. Dowd and D. Blake, 2006, Discussion paper pi-0603 after var: The theory, estimation and insurance applications of quantile-based risk measures, Technical report, The Pensions Institute.
  • P. Embrechts, Lindskog F., and A. McNeil, 2002, Modelling Dependence with Copulas and Applications to Risk Management, In Handbook of Heavy Tailed Distributions in Finance, ed. S. Rachev. Elsevier, Chapter 8, 329-384.
  • T. Fischer, 2003, Risk capital allocation by coherent risk measures based on one-sided moments, Insurance: Mathematics and Economics, 32-1,135-146.
  • K. A. Froot and J. C. Stein, 1998, Risk management, capital budgeting, and capital structure policy for financial institutions: in integrated approach, Journal of Financial Economics, 47, 55-82.
  • M. Kalkbrener, 2005, An axiomatic approach to capital allocation, Mathematical Finance, 15-3, 425-437.
  • U. Karabey, 2015, Risk Capital Allocation and Sensitivity Analysis in Non-Life Insurance Companies, IJSE International Journal of Statistics and Economics, 16-3.
  • U. Karabey, 2012, Risk Measures and Risk Capital Allocation, Đstatistikçiler Dergisi, 5, 32-42.
  • R. C. Merton and A. Perold, 1993, Theory of risk capital in financial firms, Journal of Applied Corporate Finance, 6, 16-32
  • S. C. Myers and J. A. Read, 2001, Capital allocation for insurance companies, Journal of Risk and Insurance, 68, 545-580.
  • R. R. Nelsen, 1999, An Introduction to Copulas, Springer, New-York.
  • L. Overbeck, 2000, Allocation of economic capital in loan portfolios. In Measuring Risk in Complex Stochastic Systems, W. Hardle & G. Stahl, Berlin.
  • F. Saita, 1999, Allocation of risk capital in financial institutions, Financial Management, 28, 95-111.
  • D. Tasche, 1999, Risk contributions and performance measurement, Technical report, Research paper, Zentrum Mathematik (SCA).
  • M. Urban, J. Dittrich, C. Klüppelberg and R. Stölting, 2004, Allocation of risk capital to insurance portfolios, Blatter DGVFM Deutsche Gesellschaft fur versicherungs und finanzmathematike, V. XXVI, 3, 389-406.
  • G. G. Venter, 2002, Tails of copulas, Proceedings of the Casualty Actuarial Society, LXXXIX, 68–113
Toplam 18 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Mühendislik
Bölüm Makaleler
Yazarlar

Uğur Karabey

Yayımlanma Tarihi 27 Haziran 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 8 Sayı: 1

Kaynak Göster

IEEE U. Karabey, “Importance of Modelling the Dependence for Risk Capital Allocation Abstract”, JSSA, c. 8, sy. 1, ss. 1–9, 2015.