Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation by Jianxi Su
Date: May 3, 2023
Speaker: Jianxi Su
Title: Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
Abstract: Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal economic capital analysis.
In this talk, we will study a question as to whether or not the RCA induced by the regulatory risk measure may concur with alternatives that arise from the context of profit maximization. We will begin by discussing the mathematical formulation of RCA problems, after which we will address the question from three perspectives: probability, asymptotic analysis, and statistics.