英文标题：
《Economic Neutral Position: How to best replicate not fully replicable
liabilities》
---
作者：
Andreas Kunz and Markus Popp
---
最新提交年份：
2019
---
英文摘要：
Financial undertakings often have to deal with liabilities of the form \'non-hedgeable claim size times value of a tradeable asset\', e.g. foreign property insurance claims times fx rates. Which strategy to invest in the tradeable asset is risk minimal? We generalize the Gram-Charlier series for the sum of two dependent random variable, which allows us to expand the capital requirements based on value-at-risk and expected shortfall. We derive a stable and fairly model independent approximation of the risk minimal asset allocation in terms of the claim size distribution and the moments of asset return. The results enable a correct and easy-to-implement modularization of capital requirements into a market risk and a non-hedgeable risk component.
---
中文摘要：
金融企业通常必须处理“非对冲索赔规模乘以可交易资产价值”形式的负债，例如外国财产保险索赔乘以外汇汇率。哪种投资可交易资产的策略风险最小？我们将Gram-Charlier级数推广为两个相依随机变量之和，这使我们能够根据风险价值和预期缺口扩大资本要求。我们根据索赔规模分布和资产收益矩推导出了风险最小资产配置的稳定且与模型无关的近似值。结果使资本要求模块化成为市场风险和不可对冲风险组成部分的正确且易于实施。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->