The quantification of diversification benefit plays a critical role in quantitative risk models, especially within the context of regulatory and economic capital. However, the complexity of today's risk...
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European insurers are refining their internal economic capital models as regulators’ efforts to define statutory solvency requirements grind to a standstill. Louie Woodall reports
Firms look to make model outputs publicly available to test investor response to future Solvency II requirements
Using a long history of public firm defaults, this study illustrates a validation approach for jointly testing the impact of probability of default and correlation upon economic capital model performance....
Insurance Risk Solvency II Solutions Guide 2012/13
Ineffective use of economic capital frameworks 'could obscure true risk profile of firm'
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At the Credit Risk Summit held in London on October 15, Commerzbank’s vice chancellor of credit risk and economic capital, Markus Wadé, warned of the risks posed by “model monoculture”. Wadé...
Expert subjective judgement must be employed by banks to complement traditional risk management tools, says Royal Bank of Scotland's global head of market risk and quantitative analytics. Appearing as...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.