Anticipated slowdown will be first major test for new generation of expected credit loss models
The author proposes a repo haircut model that will identify capital for repo default risk as the main driver of repo spreads and allow investors to settle at an optimal combination of the haircut and repo rate.
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
Insurer edges toward over-capitalisation on its own measures
In this paper, the author presents an easy-to-implement, fast and accurate method for approximating extreme quantiles of compound loss distributions (frequency + severity), which are commonly used in insurance and operational risk capital models.
Fed’s stress tests are forcing banks to cut loan portfolios and trading assets
Extending risk-adjusted performance metrics to take into account real-world investment returns
Allianz's Thomas Wilson re-examines how firms measure the value of capital-intensive products
Sponsored survey analysis: SunGard
Insurers are using the delays to Solvency II to improve their economic capital models
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
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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