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Credit Risk Transfer and Contagion Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Some have argued that recent increases in credit risk transfer are desirable because they improve the diversification of risk. Others have suggested that they may be …

Contagion Risk in the International Banking System and Implications for London as a Global Financial Center Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk …

To Hedge or Not to Hedge: Managing Demographic Risk in Life Insurance Companies Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Demographic risk, i.e., the risk that life tables change in a nondeterministic way, is a serious threat to the financial …

Optimal hedging of demographic risk in life insurance Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 A Markov chain model is taken to describe the development of a multi-state life insurance policy or portfolio in a stochastic economic-demographic …

SAI Wider Fields Group - Reading List: Climate Change and Resource Availability Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Reading List No category Extreme Event Risk Climate Risk Reading List SAI Wider Fields Group Paper Academic Download …

Internal model in life insurance : application of least squares monte carlo in risk assessment Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 In this paper we show how prospective modelling of an economic balance sheet using the least squares …

An application of Monte Carlo proxy techniques to variable annuity business: A case study Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Insurance and reinsurance undertakings face an ever-increasing demand from their various stakeholders for a …

Research Paper on Operational Risk Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Operational risk losses are high profile, uncertain, and headline-grabbing. Despite the best endeavours of companies, material operational risk losses keep …

Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on …

Model Risk Management: Quantitative and Qualitative Aspects Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Model Risk Management: Quantitative and Qualitative Aspects No category Model Risk Model Risk Management Solutions Wed, 01/01/2014 - 12:00 …

Robust risk measurement and model risk Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Financial risk measurement relies on models of prices and other market variables, but models inevitably rely on imperfect assumptions and estimates, creating …

Mastering Model Risk: Assessment, Regulation and Best Practices Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Robust quantitative models have been an essential component of risk management and analysis for decades, but have dramatically increased …