Die Dynamische Finanzanalyse (DFA) hat sich in den vergangenen Jahren zu einemwichtigen Instrument zur Analyse der Finanzlage eines Versicherungsunternehmens entwickelt.Trotz der zunehmenden Verbreitung der DFA in der Praxis und zahlreicher Abhandlungenin der wissenschaftlichen Literatur gibt es...

The aim of this paper is to study the influence of nonlinear dependencies on a nonlifeinsurers risk and return profile. To achieve this, we integrate several copulamodels in a dynamic financial analysis (DFA) framework and conduct numericaltests within a simulation study. We also test several...

Dynamic financial analysis (DFA) has become an important tool in analyzing thefinancial situation of insurance companies. Constant development and documentationof DFA tools has occurred during the last years. However, several questionsconcerning the implementation of DFA systems have not been...

Dynamic financial analysis (DFA) models an insurance company’s cash flow inorder to forecast assets, liabilities, and ruin probabilities, as well as full balancesheets for different scenarios. In the last years DFA has become an important toolfor the analysis of an insurance company’s...

Based on a sequence of reforms in the Norwegian unemployment insurance (UI) system, weshow that activity-oriented UI regimes – i.e., regimes with a high likelihood of requiredparticipation in active labor market programs, duration limitations on unconditional UIentitlements, and high sanction...

Understanding adjustment processes has become central in economics. Empirical analysisis fraught with the problem that the target is usually unobserved. This paper develops,simulates and applies GMM methods for estimating dynamic adjustment models ina panel data context with partially unobserved...

In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...

In this paper, we measure the impact of a downturn in the automobile industry on thesolvency of 28 large German banks. The choice of the stressed sector is motivated by theimportant role which the automobile industry plays in the German economy, not the leastbecause of its close ties to other...

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreadsof a popular credit default swap (CDS) index – we extract risk-neutral probabilities ofdefault (PDs) and physical asset return correlations from single-name CDS spreads. Thetime profile and overall level...

Factor based forecasting has been at the forefront of developments in the macroeconometricforecasting literature in the recent past. Despite the flurry of activityin the area, a number of specification issues such as the choice of the number offactors in the forecasting regression, the benefits...