Economic / Risk Based Capital

Content type Date Sort ascending Title Tags
ERM Resource Value-at-risk capital requirement regulation, risk taking and asset allocation: a mean–variance analysis Basel regulationscapital requirement regulationEconomic / Risk Based Capitalmarket lineNo specific riskregulated capitalrisk managementvalue-at-risk
ERM Resource Model uncertainty in risk capital measurement Bayesian model averagingEconomic / Risk Based CapitalHistorical simulationModel errorModel uncertaintyNo specific riskValue-at-Risk.Worst-case approach
ERM Resource Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach Change of Measure approachEconomic / Risk Based CapitalOperational RiskOperational risk capitalscenario analysis
ERM Resource A Cost of Capital Approach to Credit and Liquidity Spreads Contagion RiskContagion RiskCost of Capitalcredit riskcredit spreadsEconomic / Risk Based Capitalinsurance liabilitiesLiquidity RiskParameter RiskParameter Risk
ERM Resource Economic Capital: An Alternate Copula-Free Approach accounting dataEconomic / Risk Based CapitalEconomic capital modelexpected lossleverage ratiosNo specific risk
ERM Resource A Shortcut to Calculating Return on Required Equity and Its Link to Cost of Capital Cost of CapitalEconomic / Risk Based CapitalGAAP reserveNo specific riskparallel risk measuresReturn on required equitytarget loss ratio
ERM Resource Down but Not Out: A Cost of Capital Approach to Fair Value Risk Margins Contagion RiskEconomic / Risk Based CapitalMarket cost of capitalMonte Carlo simulationNo specific riskParameter Riskrisk margins
ERM Resource Accenture 2015 Global Risk Management Study: Capital Markets Report Capital marketsdigital disruptionEconomic / Risk Based Capitalemerging threatsNo specific riskOperational Risk ManagementRisk Culture
ERM Resource The financial risk management of the Eurosystem’s monetary policy operations Counterparty Default Riskcredit riskEconomic / Risk Based CapitaleurosystemInterest Rate RiskLiquidity RiskMarket Riskmonetary policyoperational risksrisk reporting and monitoringrisks
ERM Resource ORSA process implementation for internal stakeholders Compliance and Corporate GovernanceEconomic / Risk Based CapitalORSARegulation
ERM Resource Stepping Stones to ORSA: Looking beyond the preparatory phase to Solvency II Compliance and Corporate GovernanceEconomic / Risk Based CapitalORSARegulation
ERM Resource A global framework for insurer solvency assessment Economic / Risk Based CapitalNo specific riskrisk managementSolvency
ERM Resource Reserve Risk Dependencies under Solvency II and IFRS 4 perspective CorrelationEconomic / Risk Based CapitalLinear-Stochastic reserving methodsRegulationReserving RiskRisk Management Tools and Techniques
ERM Resource A Practical Way to Estimate One-year Reserve Risk Best EstimateEconomic / Risk Based CapitalLoss ReservesOne-year Reserve RiskregulationReserving RiskRisk Management Tools and TechniquesSolvency IITechnical Provision
ERM Resource Calibration of the Premium and Reserve Risk Factors in the Standard Formula of Solvency II Economic / Risk Based CapitalParameterisationPremium RiskRegulationReserving Riskrisk factorsRisk Management Tools and TechniquesSCRSolvency IIstandard formula