An efficient approach to quantile capital allocation and sensitivity analysis
In various fields of applications such as capital allocation, sensitivity analysis, and systemic risk evaluation, one often needs to compute or estimate the expectation of a random variable, given that another random variable is equal to its quantile at some prespecified probability level. A primary...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Blackwell Publishing Inc.
2019
|
| Subjects: | |
| Online Access: | View Fulltext in Publisher |