| 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 |
Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk |
Capital Requirements, expected shortfall, Model Risk, No specific risk, Risk Reporting and Communication, value-at-risk |
| ERM Resource |
07/09/2017 |
Solvency II Solvency Capital Requirement for life insurance companies based on Expected Shortfall |
equity risk, expected shortfall, Interest Rate Risk, Longetivity Risk, Regulation, Solvency Capital Requirement, Solvency II, value-at-risk |
| ERM Resource |
25/06/2015 |
Risk-minimising investment strategies |
conditional value-at-risk, constant proportion portfolio insurance, dynamic asset allocation, No specific risk, portfolio insurance, Risk Optimisation, time invariant portfolio protection, value-at-risk |
| ERM Resource |
25/06/2015 |
Optimization of the Non-Life Insurance Risk Diversification in Solvency II |
conditional value-at-risk, diversification factor, Herfindahl-Hirschman index, multivariate elliptical and log-elliptical risk distributions, No specific risk, Regulation, Risk Optimisation, Solvency II non-life risk, value-at-risk |
