Holistic principle for risk aggregation and capital allocation.
Wing Fung ChongRunhuan FengLonghao JinPublished in: Ann. Oper. Res. (2023)
Keyphrases
- operational risk
- resource allocation
- risk management
- risk assessment
- high risk
- data aggregation
- risk measures
- rank aggregation
- optimal allocation
- resource allocation problems
- risk factors
- aggregation operators
- allocation problems
- dynamic allocation
- empirical risk
- credit risk
- early warning
- decision making
- combinatorial auctions
- multi agent
- decision trees
- knowledge base