internal risk pooling between the business units of the parent group and risk transfer toward the reinsurance market. We … retrocessions. In particular, the risk cession by fronters to a reinsurance captive trades o¤ the benefits derived from recouped … premiums and from the risk sharing advantage of an "umbrella reinsurance policy", against the risks that result from the …

Some company boards of directors and management teams are still reluctant to embrace enterprise risk management (ERM …) because of the uncertainty regarding its value to the bottom line. A survey of audit and risk management executives suggests … that the use of ERM leads to increased management consensus, better-informed decisions, enhanced communication of risk …

along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk …

, we address a discussion on this topic proposing the concept of meta-distribution which can be used to improve risk …

bankruptcies. This article applies extreme value theory results to quantify the extreme downside risk of the S&P 500 stock index in …

The ultimate goal of risk management is the generation of efficient incomes. The objective is to generate the maximum … return for a unit of risk taken or to minimise the risk taken to generate the return expected i.e. it is the optimisation of … assessing its couple risk-return. But this taskk may be difficult as banks face various types of risks, for instance …

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To … sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio …

instantiate a Generic Knowledge Base (Generic Domain Ontology) in the risk management domain. The approach is semi-automatic and …

We derive two new technical indicators for trading systems and risk management. They stem from trends in time series …