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Robust and Stable Capital Allocation: Wilmott Magazine Article
Bernd Appasamy, Anne Kleppe, Christian Oehler 302 Views

Capital allocation of credit risk is one of the key concepts of modern value based bank management. In order to conduct business decisions according to some risk-reward relationship the reliability of capital allocation figures on transaction level is most critical. Conventional allocation techniques like volatility contributions or credit value at risk (CVaR) are either non-coherent or fail to achieve the numerical stability needed for bank management decisions

Half of a Coin: Wilmott Magazine Article
Gábor J. Székely 1746 Views

Half coins are strange objects with infinitely many sides. They are numbered with 0, 1, 2, . . . and the positive even numbers are taken with negative probabilities. Two half coins make a complete coin in the sense that if we flip two half coins then the sum of the outcomes is 0 or 1 with 1/2 probability as if we simply flipped a fair coin. In this paper we clarify the meaning and interpretation of negative probabilities and illustrate their importance in finance.

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