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Prof. Dr. Ludger Overbeck

Capital allocation for dynamic risk measures

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Wann 03.06.2016
von 12:00 bis 13:00
Wo Eckerstr. 1
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Capital allocations have been studied in conjunction with static risk measures in
various papers. The dynamic case has been studied only in a discrete-time setting.
We address the problem of allocating risk capital to subportfolios in a continuous-
time dynamic context. For this purpose we introduce a classical differentiability
result for backward stochastic Volterra integral equations and apply this result to
derive continuous-time dynamic capital allocations. Moreover, we study a dyna-
mic capital allocation principle that is based on backward stochastic differential
equations and derive the dynamic gradient allocation for the dynamic entropic risk
measure. As a consequence we finally provide a representation result for dynamic
risk measures that is based on the full allocation property of the Aumann-Shapley
allocation, which is also new in the static case.

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