期刊论文、会议论文

Zheng, Chengli

英文

LISS 2014

2015

903-910

4th International Conference on Logistics, Informatics and Service Science (LISS)

JUL 23-26, 2014

Beijing Jiaotong Univ, Sch Econ & Management, Beijing, PEOPLES R CHINA

Beijing Jiaotong Univ, Sch Econ & Management

Beijing Jiaotong Univ, Int Ctr Informat Res, Beijing Jiaotong Univ, China Ctr Ind Secur Res, Beijing Jiaotong Univ, Low Carbon Res & Educ Res Ctr, Univ California Berkeley, Univ Reading, 7th Framework Programme, Natl Nat Sci Fdn China, K C Wong Educ Fdn, Springer

Zhang, Z Shen, ZM Zhang, J Zhang, R

HEIDELBERGER PLATZ 3, D-14197 BERLIN, GERMANY

SPRINGER-VERLAG BERLIN

978-3-662-43871-8; 978-3-662-43870-1

10.1007/978-3-662-43871-8_130

本校为第一且通讯机构

The risk capital allocation problem comes from the diversification of one portfolio. In this paper, we combine the minimal excess principle and expected shortfall into capital allocation with Chinese market portfolio data. And the loss distributions are estimated through extreme value theory which is suitable for the property of fat tail. Our idea satisfies the requirements of coherent risk measure and capital allocation rules. Comparing with two other allocation rules, the result turns out that ou...