Economic capital is becoming the language of risk. While market, credit and operational risk have different determinants and use different methodologies, the levels of risk can all be summarised in a common...
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
The final draft of the new global Accord on bank regulatory capital – Basel II – has been delayed. A critical and unresolved issue is whether banks should include expected losses in their measure of credit risk. The IMF's Paul Kupiec reports on efforts...
Basel II stipulates that the asset correlation to be used in calibration of obligor risk weights is 20%. Here, Alfred Hamerle, Thilo Liebig and Daniel Rösch use a parametric model to empirically obtain asset correlations from a large database of historical...
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk
To meet the Basel II advanced measurement requirements and improve op risk management, firms must establish robust loss databases. Ulrich Anders and Jürgen Platz of Dresdner Bank in Frankfurt outline such a framework.
The correlation matrix is of vital importance for value-at-risk (VAR) modelsin the financial industry. Risk managers are often interested in stressing a subsetof market factors within large-scale risk systems containing hundreds ofmarket variables. Correlations...
Ernst Eberlein and Gerhard Stahl analyse price series of 25 energy spot rates simultaneously using Lévy models. This model class allows the capture of stochastic behaviour of these financial instruments. The implications of this analysis will form the...
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
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