Economic capital
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
ECL model forecasts are off-target, researchers find
Anticipated slowdown will be first major test for new generation of expected credit loss models
Repo haircuts and economic capital: a theory of repo pricing
The author proposes a repo haircut model that will identify capital for repo default risk as the main driver of repo spreads and allow investors to settle at an optimal combination of the haircut and repo rate.
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Risk and finance – Better together
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
Zurich builds up capital buffers
Insurer edges toward over-capitalisation on its own measures
Fast, accurate and straightforward extreme quantiles of compound loss distributions
In this paper, the author presents an easy-to-implement, fast and accurate method for approximating extreme quantiles of compound loss distributions (frequency + severity), which are commonly used in insurance and operational risk capital models.
In a bind: how CCAR constrains US bank strategy
Fed’s stress tests are forcing banks to cut loan portfolios and trading assets
Putting a price on long-term life insurance business (part II)
Extending risk-adjusted performance metrics to take into account real-world investment returns
Putting a price on long-term life insurance business
Allianz's Thomas Wilson re-examines how firms measure the value of capital-intensive products
Trends in risk management
Sponsored survey analysis: SunGard
The economic view
Insurers are using the delays to Solvency II to improve their economic capital models
Insurers explore new risk metrics in bid to refine economic capital models
European insurers are refining their internal economic capital models as regulators’ efforts to define statutory solvency requirements grind to a standstill. Louie Woodall reports
More UK insurers to publish economic capital data next year
Firms look to make model outputs publicly available to test investor response to future Solvency II requirements
Insurers grapple with Solvency II economic capital projections
Capital projection
Insurance Risk Solvency II Solutions Guide 2012/13
Insurance Risk Solvency II Solutions Guide 2012/13
Senior insurance executives do not understand economic capital models, KPMG survey finds
Ineffective use of economic capital frameworks 'could obscure true risk profile of firm'
US focus: Economic evolution
Economic evolution