Economic / Risk Based Capital

Content type

Practice Areas

Publication Types

Content type	Date Sort ascending	Title	Tags
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	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	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