most citedCan a regulatory risk measure induce profit-maximizing risk capital allocations? The case of Conditional Tail Expectation

2 citations · 2 across the 1 of their papers we have counts for

collaborators

1 paper

q-fin.RM2021★ 2 cited

Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of Conditional Tail Expectation

Nawaf Mohammed, Edward Furman, Jianxi Su

Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determi…