Economic / Risk Based Capital

Content type Date Title Tags
ERM Resource 07/09/2017 A Shortcut to Calculating Return on Required Equity and Its Link to Cost of Capital Cost of Capital, Economic / Risk Based Capital, GAAP reserve, No specific risk, parallel risk measures, Return on required equity, target loss ratio
ERM Resource 07/09/2017 Down but Not Out: A Cost of Capital Approach to Fair Value Risk Margins Contagion Risk, Economic / Risk Based Capital, Market cost of capital, Monte Carlo simulation, No specific risk, Parameter Risk, risk margins
ERM Resource 07/09/2017 Accenture 2015 Global Risk Management Study: Capital Markets Report Capital markets, digital disruption, Economic / Risk Based Capital, emerging threats, No specific risk, Operational Risk Management, Risk Culture
ERM Resource 07/09/2017 The financial risk management of the Eurosystem’s monetary policy operations Counterparty Default Risk, credit risk, Economic / Risk Based Capital, eurosystem, Interest Rate Risk, Liquidity Risk, Market Risk, monetary policy, operational risks, risk reporting and monitoring, risks
ERM Resource 07/09/2017 Value-at-risk capital requirement regulation, risk taking and asset allocation: a mean–variance analysis Basel regulations, capital requirement regulation, Economic / Risk Based Capital, market line, No specific risk, regulated capital, risk management, value-at-risk
ERM Resource 07/09/2017 Model uncertainty in risk capital measurement Bayesian model averaging, Economic / Risk Based Capital, Historical simulation, Model error, Model uncertainty, No specific risk, Value-at-Risk., Worst-case approach
ERM Resource 07/09/2017 Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach Change of Measure approach, Economic / Risk Based Capital, Operational Risk, Operational risk capital, scenario analysis
ERM Resource 07/09/2017 A Cost of Capital Approach to Credit and Liquidity Spreads Contagion Risk, Contagion Risk, Cost of Capital, credit risk, credit spreads, Economic / Risk Based Capital, insurance liabilities, Liquidity Risk, Parameter Risk, Parameter Risk
ERM Resource 07/09/2017 Economic Capital: An Alternate Copula-Free Approach accounting data, Economic / Risk Based Capital, Economic capital model, expected loss, leverage ratios, No specific risk
ERM Resource 28/09/2015 ORSA process implementation for internal stakeholders Compliance and Corporate Governance, Economic / Risk Based Capital, ORSA, Regulation
ERM Resource 28/09/2015 Stepping Stones to ORSA: Looking beyond the preparatory phase to Solvency II Compliance and Corporate Governance, Economic / Risk Based Capital, ORSA, Regulation
ERM Resource 29/07/2015 A global framework for insurer solvency assessment Economic / Risk Based Capital, No specific risk, risk management, Solvency
ERM Resource 29/07/2015 Reserve Risk Dependencies under Solvency II and IFRS 4 perspective Correlation, Economic / Risk Based Capital, Linear-Stochastic reserving methods, Regulation, Reserving Risk, Risk Management Tools and Techniques
ERM Resource 29/07/2015 A Practical Way to Estimate One-year Reserve Risk Best Estimate, Economic / Risk Based Capital, Loss Reserves, One-year Reserve Risk, regulation, Reserving Risk, Risk Management Tools and Techniques, Solvency II, Technical Provision
ERM Resource 29/07/2015 Calibration of the Premium and Reserve Risk Factors in the Standard Formula of Solvency II Economic / Risk Based Capital, Parameterisation, Premium Risk, Regulation, Reserving Risk, risk factors, Risk Management Tools and Techniques, SCR, Solvency II, standard formula