How practical is op risk insurance?

Under Basel II, insurance is allowed to offset op risk under the advanced measurement approach (AMA). Within Europe, the third draft of the European Union’s capital adequacy directive (Cad3) proposes allowing insurance for the basic indicator approach and also the standardised approach. But banks and regulators are asking themselves just how valuable is insurance as an op risk hedging tool.

"In so far as insurance can be a hedge, it is as yet unproved, and has some fundamental structural issues

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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