La correlazione fra default e recovery ha un impatto significativo sui requisiti di capitale per il rischio di credito. In questo articolo, Rahul Sen mostra che tale effetto può essere modellato in modo...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Technical papers/Regulation articles
Socioeconomic group is an important factor for determining life expectancy, and actuaries have traditionally used pension or benefit size as a proxy for this. This article shows the weaknesses of relying solely on benefit size or amount, and explains...
With the economy still suffering from the waves of the credit crunch, triggered by a housing price slump, Yong Kim provides a structural model of subprime mortgages based on housing market risks. Given the enormity of the subprime mortgage market failure,...
This paper shows that insurers can meet solvency requirements without a great sacrifice to the expected return either of themselves or their policyholders and thus that the regulation through Solvency II is not very costly
Das Kontrahentenrisiko unter Korrelation ist in der Finanzliteratur relativ unerforscht. Im vorliegenden Artikel führen Damiano Brigo und Andrea Pallavicini die bestehenden Analysen über einfache Swap-Portfolios hinaus. Das Ausfallereignis wird im Rahmen...
Il calcolo del capitale economico offre al settore finanziario l'opportunità di migliorare la sensibilità al rischio della propria gestione del capitale e consente a investitori e autorità di vigilanza di raffrontare agevolmente la solidità finanziaria...
Modelling counterparty default risk of a reinsurance bouquet requires an appropriate underlying default correlation structure. A flexible model with two control parameters gives us an alternative of the current standard model in Solvency II
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
Australia, 5th - 7th Mar 2014
South Africa, 12th - 14th Mar 2014
UK, 12th Mar 2014
UK, 13th - 14th Mar 2014
UK, 13th Mar 2014