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q-fin.RM2026
Dirichlet sub-mixtures: A new reading of multiplicative background risk models with Pareto margins
Nawaf Mohammed, Edward Furman
Multiplicative background risk models (MBRMs) provide a tractable framework for describing dependent risks. We construct a class of MBRMs with Pareto margins by combining Marshall-…
q-fin.RM2026
A tale of two allocations: Risk capital contributions versus risk contributions in the tail
Nawaf Mohammed, Edward Furman
We compare two natural proportional notions of a risk component's contribution to the aggregate tail risk of a collection of risks: the fraction of aggregate tail risk capital allo…