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The Marginal Cost of Risk, Risk Measures, and Capital Allocation

The Marginal Cost of Risk, Risk Measures, and Capital Allocation This abstract describes a paper that reverses the sequence of the Euler (or gradient) allocation technique by calculating the ...
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Description: This abstract describes a paper that reverses the sequence of the Euler (or gradient) allocation technique by calculating the marginal costs of risk exposures for a proﬁt maximizing ﬁnancial institution with risk averse counterparties, and then identifying a closed-form solution for the risk measure whose gradient delivers the correct marginal costs.
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- Authors: Daniel Bauer, George H Zanjani
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments

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The Marginal Cost of Risk, Risk Measures, and Capital Allocation