Optimal Capital Allocation Based on the Risk Profile of Collective Investment Schemes: An Application of Distortion Risk Measures

Authors

  • Jaume Belles-Sampera Riskcenter-IREA Universitat de Barcelona
  • Miguel Santolino Riskcenter-IREA Universitat de Barcelona

DOI:

https://doi.org/10.46661/revmetodoscuanteconempresa.2221

Keywords:

Asignación de capital, medidas de riesgo distorsionadas, perfil de riesgo, riesgo agregado, capital allocation, distortion risk measures, risk profile, aggregated risk

Abstract

Increasing attention is paid to risk management under the recent regulatory frameworks of the insurance and financial sectors. It is required by the regulator that institutions have a capital to face potential losses from their activity. This capital is usually assessed by means of risk measures. To take adequate decisions, it is essential that managers know how individual risk contribute to the aggregated capital requirement. Techniques of optimal capital allocation are developed to deal with it. This article applies optimal capital allocation criteria in the context of asset management. Our goal is to analyze the liquidity coefficients of Collective Investment Schemes (IIC) belonging to a Management Company of Collective Investment Schemes. In this new context, the risk undertaken by each IIC is assessed with alternative distortion risk measures. We develop a fictitious case where results suggest that the risk profile of institutions should be a key factor to determine liquidity coefficients in order to not penalize conservative strategies.

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Published

2016-11-04

How to Cite

Belles-Sampera, J., & Santolino, M. (2016). Optimal Capital Allocation Based on the Risk Profile of Collective Investment Schemes: An Application of Distortion Risk Measures. Journal of Quantitative Methods for Economics and Business Administration, 15, Páginas 65 a 86. https://doi.org/10.46661/revmetodoscuanteconempresa.2221

Issue

Vol. 15 (2013)

Section

Articles

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Copyright (c) 2013 Revista de Métodos Cuantitativos para la Economía y la Empresa

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