Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258018 
Authors: 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 2 [Article No.:] 65 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-13
Publisher: 
MDPI, Basel
Abstract: 
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 factors affect losses in a nonlinear way. The method splits loss contributions over time and is straightforward to implement. We show in an example how this risk decomposition can be applied in the context of credit risk.
Subjects: 
risk attribution
risk allocation
credit risk
Euler principle
risk factors
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Creative Commons License: 
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Document Type: 
Article
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