EAA Web Session ‘Adding Value Through Risk Measurement: Capital Allocation & Beyond’
Online/StreamingParticipants will gain an in-depth understanding of two techniques for allocating aggregate capital to business units or individual risks that are valuable for risk assessment and business management. Using R, we provide a practical case study on the (often challenging) estimation of gradient capital allocation and Orthogonal Convexity Scenarios using kernel estimation methods, providing in-depth […]