September 10th, 2009
Optimize Capital Allocation with Co-xTVaR
Posted at 6:00 AM ET
Donald Mango, Chief Actuary, and Susan Witcraft, Managing Director
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In choosing a capital allocation method, firms must balance the sophistication of the method with calculation time and resource commitment. One approach, co-xTVaR, strikes a balance between theoretical soundness and efficiency. In a capital-constrained environment, using co-xTVaR to allocate the cost of capital can provide a clear competitive advantage.
