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摘要翻译：
尽管欧拉分配原则已经被许多金融机构用于其内部资本分配过程，但对欧拉分配的全面描述似乎仍然缺乏。我们试图通过介绍理论背景和实践方面来填补这一空白。特别地，我们讨论了对于一些重要的风险度量如何估计欧拉风险贡献。本文进一步利用欧拉定理研究了CDO阶段的预期损失，并提出了一种度量风险因素对非线性投资组合影响的方法。
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英文标题：
《Capital Allocation to Business Units and Sub-Portfolios: the Euler
Principle》
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作者：
Dirk Tasche
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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英文摘要：
Despite the fact that the Euler allocation principle has been adopted by many financial institutions for their internal capital allocation process, a comprehensive description of Euler allocation seems still to be missing. We try to fill this gap by presenting the theoretical background as well as practical aspects. In particular, we discuss how Euler risk contributions can be estimated for some important risk measures. We furthermore investigate the analysis of CDO tranche expected losses by means of Euler's theorem and suggest an approach to measure the impact of risk factors on non-linear portfolios.
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PDF链接：
https://arxiv.org/pdf/708.2542
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