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CAS Exam 9 Study Notes: Riskiness Leverage Models
2019-04-13
My notes on Rodney Kreps' paper on Riskiness Leverage Models are now available. The paper establishes a general framework for determining a capital requirement for a firm based on a riskiness leverage function that reflects attitudes toward risk. Moreover, the framework provides a method for allocating the capital to different sources of risk that contribute to the aggregate result. Many common co-measures, such as covariance and co-TVaR, are shown to be special cases of this general framework. The ideas are illustrated simulated data; the paper is accompanies by a spreadsheet that performs these simulations, and the notebook above illustrates how to perform these simulations in R.
Keywords: Actuarial Science, Study Note, Exam 9