Huameng Jia

affiliation not provided to SSRN

SCHOLARLY PAPERS

1

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43

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0

Scholarly Papers (1)

1.

A One-Step Approach for Determining the Optimal Aggregate Capital Reserve and Allocation

Number of pages: 33 Posted: 31 Oct 2024
Jun Cai, Huameng Jia and Ying Wang
University of Waterloo - Department of Statistics and Actuarial Science, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 43 (921,080)

Abstract:

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VaR, CTE, Capital requirement, Capital allocation, Haircut allocation