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A Theory of Risk Capital Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23 We present a theory of risk capital and of how tax and other costs of risk capital should be allocated in a financial firm. Risk capital is equity investment that backs …

The Use of an Economic Capital Model within and Enterprise Risk Management framework Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23 A short slide show outlining Standard & Poors view of ERM, and the use of economic capital models within an ERM …

What Makes a Good Economic Capital Model? Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23 A slide show based on an interactive session for a lively discussion between audience members and panelists. Economic Capital Models are being discussed …

Introduction to Economic Capital Modelling Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23   A presentation by François Morin including an overview of economic capital modelling, and steps to include when building an economic capital model. …

Living with Solvency II: An economic capital perspective from recent history Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23 There is little doubt that Solvency II will have a significant impact on many aspects of how insurance companies operate in …

Economic Capital and the Aggregation of Risks using Copulas Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23 Insurance companies measure and manage capital across a broad range of diverse business products. Thus there is a need for the aggregation …

Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23 Is there something special, with respect to risk and capital, about a financial conglomerate that combines banking, …

Economic Capital Model Validation Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23 The paper considers Economic Capital Model (ECM) validation from different viewpoints: regulators, management, rating agencies and parallel developments in the …

The use of Economic Capital in ORSA Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23 A presentation for the 2013 Investment Seminar on the use of economic capital for the ORSA. Regulation Economic / Risk Based Capital Bogie Ozdemir Tue, 07/04/1905 - …

Excess based allocation of risk capital Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23 In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that …

Insurance risk capital for the Sparre Andersen model with geometric L Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23 Some multi-period insurance risk economic capital models that include the effects of heavy-tail claims and random returns are …

ERM - Credit Rating and Hedging Impacts (Do credit ratings incorporate firms' risk management?) Submitted by TheSecretariat on Thu, 25/06/2015 - 21:23   This study investigates the relation between firm risks and credit rating for a larger sample of …