Economic capital
Insurance Risk Solvency II Solutions Guide 2012/13
Insurance Risk Solvency II Solutions Guide 2012/13
Senior insurance executives do not understand economic capital models, KPMG survey finds
Ineffective use of economic capital frameworks 'could obscure true risk profile of firm'
US focus: Economic evolution
Economic evolution
On the use of t-copulas for economic capital calculations
Research Papers
Op risk appetite: Do firms have a balanced diet?
A balanced diet?
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If it's broke..
Economic capital models
BIS speaks out on economic capital calculation
Daily news headlines
The liquidity link
Liquidity risk
A unifying approach
Economic capital
What's happening at JP Morgan Chase?
Recently, many have come forward to ask me what is going on within JP Morgan Chase's risk management division. Over the past year, a number of people have left the operational risk team, both at the corporate and business unit levels. Risk executives in…
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio loss distribution, calculate their loss volatility and assign economic capital. Here, Kevin Thompson, Alistair McLeod, Panayiotis Teklos and Shobhit Gupta…
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio lossdistribution, calculate their loss volatility and assign economic capital. Here, Kevin Thompson,Alistair McLeod, Panayiotis Teklos and Shobhit Gupta…
The 'benefits' of smoothing
For a specific with-profits life insurance model, this article considers the amount of economic capital that is required to back smoothing benefits for a with-profits life insurance firm
Take the SunGard survey on Basel II perceptions and economic capital and you will be entered in a draw to win a lobster meal for two
SunGard is surveying Basel II perceptions and economic capital.
Estimating economic capital allocations for market and credit risk
Value-at-Risk (VAR) measures often are used as a basis for setting so-called"economic capital" or buffer stock measures of equity capitalization requirements.VAR measures do not account for the time value of money or theequilibrium required return…
Sponsor's Article > Managing Capital in Financial Institutions
Capital is key to any financial institution. Companies in other industries need capital to buy property and production equipment. For financial institutions, the primary function of capital is to cover unexpected credit and market risks losses, because…
Observations on the differences between operational risk regulatory and economic capital
In this article, Niklas Hageback takes a practical look at the difficulties in reconciling regulatory and economic capital calculation in the discipline of operational risk.