A New Approach to Risk Attribution and Its Application in Credit Risk Analysis
How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler principle to attribute risk to its driving factors when these f...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-06-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/8/2/65 |