Holistic principle for risk aggregation and capital allocation
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DOI: 10.1007/s10479-021-03987-4
Abstract: Risk aggregation and capital allocation are of paramount importance in business, as they play critical roles in pricing, risk management, project financing, performance management, regulatory supervision, etc. The state-of-the-art practice often includes two steps: (i)… read more here.
Keywords: capital; aggregation capital; risk; risk aggregation ... See more keywords
Government financial institutions and capital allocation efficiency in Japan
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2020.105854
Abstract: Abstract This paper uses the industry-level panel data from 1975–2005 and estimates Wurgler's η, the elasticity of industry investment to value-added, for each of Japan's 47 prefectures. We find that Wurgler's η varies considerably across… read more here.
Keywords: government financial; capital; financial institutions; government ... See more keywords
Risk sharing, efficiency of capital allocation, and the connection between banks and the real economy
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Corporate Finance"
DOI: 10.1016/j.jcorpfin.2019.101538
Abstract: Abstract We propose a measure of the extent to which a financial institution is connected to the real economy. The Share of Core Assets (SCA) is a measure of the composition of assets – namely,… read more here.
Keywords: risk sharing; capital allocation; real economy; efficiency capital ... See more keywords
Financial Structure and Capital Allocation Efficiency: An Empirical Analysis of China from 2005–2018
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DOI: 10.1080/00036846.2021.1877256
Abstract: ABSTRACT In this study, we explore the relationship between financial structure and the efficiency of capital allocation to determine a scientific and effective approach to transform and upgrade China’s financial sector. Using China’s provincial data… read more here.
Keywords: capital allocation; efficiency; allocation efficiency; financial structure ... See more keywords
Managerial incentives for risk-taking and internal capital allocation
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DOI: 10.1177/0312896216652181
Abstract: In this study, we show that the option-like structure of equity-based compensation encourages managerial risk-taking and provide new evidence on the way in which CEO’s risk-taking could manifest itself in a multi-segment firm. Our results… read more here.
Keywords: capital allocation; risk; risk taking; managerial incentives ... See more keywords
Optimal capital allocation with copulas
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DOI: 10.15672/hjms.20174620776
Abstract: In this paper, we investigate optimal capital allocation problems for a portfolio consisting of different lines of risks linked by a Farlie-Gumbel- Morgenstern copula, modelling the dependence between them. Based on the Tail Mean-Variance principle,… read more here.
Keywords: allocation copulas; capital allocation; capital; optimal capital ... See more keywords
Covariance Principle for Capital Allocation: A Time-Varying Approach
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DOI: 10.3390/math9162005
Abstract: The covariance allocation principle is one of the most widely used capital allocation principles in practice. Risks change over time, so capital risk allocations should be time-dependent. In this paper, we propose a dynamic covariance… read more here.
Keywords: capital allocation; capital; time; approach ... See more keywords