Purpose–The purpose of this paper is to build an easy to implement, pragmatic and parsimonious yet accurate model to determine an exposure at default (EAD) distribution for CCL (contingent credit lines) portfolios. Design/methodology/approach–Using an algorithm similar to the basic...

Purpose – The IRB capital requirements of Basel II define the minimum level of capital that the bank has to retain to cover the current risks of its portfolio. The major risk that many banks are facing is credit risk and Basel II provides an approach to calculate its capital requirement. It is...

Purpose – The purpose of this paper is to explore the extent of the so-called “small-sample problem” within quantitative exchange-rate risk management. Design/methodology/approach –The authors take a closer look at the frequency distribution of nominal price changes in the European...

Purpose – The purpose of this paper is to present a simulation-based approach for modeling multi-year non-life insurance risk in internal risk models. Strategic management in an insurance company requires a multi-year time horizon for economic decision making, for example, in the context of...

Purpose – The purpose of this paper is to examine the current status of risk management in Indian companies and explore the reasons for the adoption or lack of adoption of integrated approach to risk management. It identifies the imperatives for implementation of comprehensive risk management...

Purpose – The purpose of this paper is to examine the risks caused by “hazardously immoral” contracts which force external parties to bear significant losses without their consent. Design/methodology/approach – The expectation of substantial future losses raises the question of how...

Purpose – The purpose of this paper is to examine the determinants of operational losses in insurance companies. Design/methodology/approach – By using most common estimates of frequency and severity of losses that affected business-lines during 2009, the paper integrates a quantitative...

Purpose – The purpose of this paper is to suggest an integrated risk management service for agriculture, by identifying different risk management practices that may be offered in conjunction with crop insurance, to address the various problems and challenges being faced by farmers and by...

Purpose – The purpose of this paper is to identify effects of prepayment risk on performance of commercial banks in the USA. Understanding how various risks impact banks' performance can help to improve performance of financial institutions and better estimate risk premia charged by banks on...

Purpose – Definitions of pooling effects in insurance companies may convey the impression that the achieved risk reduction effect will be beneficial for policyholders, since typically lower premiums are paid for the same safety level with an increasing number of insureds, or a higher safety...