It is important to incorporate diverse heavy-tailed dependency between risks in estimating economic capital. Copulas can be a useful technique to capture dependence structure where extreme events occur simultaneously. Using the sample of U.S. property liability insurance industry, we examine the...

The relationship between macroeconomic developments and bank capital buffer and portfolio risk adjustments is relevant to assess the efficacy of newly created countercyclical buffer requirements. Using the U.S. bank holding company data over the period 1992:Q1–2011:Q3, we find a negative...

This paper examines the impact of capital-based regulation on the insurer's risk and capital adjustments in the US property-liability insurance industry. We conduct the three-stage least squares (3SLS) procedure to estimate a simultaneous equations model. The key finding is that undercapitalized...