Risk Allocation and Risk Attribution in Static and Dynamic Settings

• Author / Creator

  Cao, Han

• Risk can be decomposed along two dimensions: risk allocation and risk
  attribution. On the one hand, the total risk of a company can be allocated to
  its divisions, using that the company’s profit/loss is the sum of the divisions’
  profits/losses. On the other hand, risk is attributed to risk drivers that may
  affect the company’s profit/loss in a nonlinear way. This thesis deals with
  risk allocation and risk attribution by extending results from a single-period
  model to a dynamic setting. For risk allocation, we apply the Euler allocation
  principle while for risk attribution, we use a linear approximation of the profit/
  loss contributions of risk drivers and then apply risk allocation. We also
  show an example for risk allocation and risk attribution, using the entropic
  risk measure and simulating the risk drivers in MATLAB.

• Subjects / Keywords

  • Risk Measure
  • Risk Allocation
  • Risk Attribution

• Graduation date

  Fall 2021

• Type of Item

  Thesis

• Degree

  Master of Science

• DOI

  https://doi.org/10.7939/r3-fgm7-q160

• License

  This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.