Vali Asimit

City University

Khagan

Bangladesh

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An Efficient Approach to Quantile Capital Allocation and Sensitivity Analysis

Mathematical Finance, Vol. 29, Issue 4, pp. 1131-1156, 2019
Number of pages: 26 Posted: 29 May 2020
Vali Asimit, Liang Peng, Ruodu Wang and Alex Yu
City University, Georgia State University, University of Waterloo - Department of Statistics and Actuarial Science and Georgia State University
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Abstract:

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bootstrap, capital allocation, expected shortfall, nonparametric estimation, sensitivity analysis, value‐at‐risk