RiskMetrics, one risk management method considered as industry standard. However these assumptions are unrealistic. The primary … method in volatility estimation and risk management given simulated and real data. Numerical results show the proposed method …

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory …. There are however limitations of some widely-used risk management methods that either calculate risk measures under the … fast method, GHICA, which overcomes the limitations in multivariate risk analysis. The idea is to first retrieve …

-private partnerships. We define risk selection asa situation where private companies pass insurance of high risk agentson to the public … rate in both highand low risk regions and the existence of a state reinsurer... …

The focuses are on the study of risk management of natural disasters from the perspective of complex systems, using the …

The aim of this paper is to examine the impact of capital and risk transfer instruments on diversification and … insolvency risk in a parent-subsidiary relationship. To better assess the effects, we compare this setting to the case of a …-pricing theory; the diversification benefit on the solvency capital is calculated based on the tail value at risk approach …

In financial groups enterprise risk management is becoming increasingly importantin controlling and managing the … different independent legal entities in thegroup. The aim of this paper is to assess and relate risk concentration and joint … defaultprobabilities of the group’s legal entities in order to achieve a more comprehensivepicture of a financial group’s risk situation …