Narrow search
Showing 1 - 10 of 13,200
Cover Image
An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - 2009
Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...
Persistent link: https://www.econbiz.de/10011605087
Cover Image
Value at risk, bank equity and credit risk
Broll, Udo; Wahl, Jack E. - 2003
We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...
Persistent link: https://www.econbiz.de/10010305454
Cover Image
Risk selection in natural disaster insurance : the case of France
Jametti, Mario; von Ungern-Sternberg, Thomas - 2006
It is widely recognized that ?market failure? prevents efficient risk sharing in natural disaster insurance. As a consequence, many countries adopted institutional frameworks presenting public sector participation, often praised as public-private partnerships. We define risk selection as a...
Persistent link: https://www.econbiz.de/10010276887
Cover Image
Deposit Insurance in General Equilibrium
Gersbach, Hans; Britz, Volker; Haller, Hans - 2016
positive. Next, we show that a judicious combination of deposit insurance and reinsurance eliminates all non …
Persistent link: https://www.econbiz.de/10011753322
Cover Image
Climate stress testing
Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - 2023
We explore the design of climate stress tests to assess and manage macro-prudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need to (i) consider many transition risks as dynamic policy choices;...
Persistent link: https://www.econbiz.de/10014480558
Cover Image
Fine tuning of health insurance regulation: Unhealthy consequences for an individual insurer
Schoder, Johannes; Sennhauser, Michèle; Zweifel, Peter - 2009
This paper sheds light on some unexpected consequences of health insurance regulation that may pose a big challenge to insurers' risk management. Because mandated uniform contributions to health insurance trigger risk selection efforts risk adjustment (RA) schemes become necessary. A good deal...
Persistent link: https://www.econbiz.de/10010315557
Cover Image
Catastrophe Index-Linked Securities and Reinsurance as Substituties
Nell, Martin; Richter, Andreas - 2000
, in contrast to traditional reinsurance, this kind of coverage cannot be a perfect hedge for the primary’s insured … transaction costs compared to (re)insurance products. Insurance coverage usually incurs costs of acquisition, monitoring and loss …, therefore, we introduce a simple model that enables us to analyze cat bonds and reinsurance as substitutional risk management …
Persistent link: https://www.econbiz.de/10010316284
Cover Image
Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?
Rünger, Petra; Walther, Ursula - 2004
Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …
Persistent link: https://www.econbiz.de/10010305656
Cover Image
Management of FX settlement risk in Hungary (Report II): Payments and securities settlements
Tanai, Eszter - 2008
[...] The objective of this study is to analyse - relying on 2006 data - FX settlement risk that may arise in the domestic banking system under its current operations, and to chart the changes which took place after 2000, covering improvements and, if necessary, formulating (new) recommendations...
Persistent link: https://www.econbiz.de/10010322397
Cover Image
Trade in financial services, capital flows, and the value-at-risk of countries
Cornelius, Peter K. - 2000
In light of the recent financial crises in the emerging markets, the coming-into-force of the financial services agreement under the GATS has been considered a success. While the agreement provides for little new liberalization but rather formalizes the status quo, it was feared that governments...
Persistent link: https://www.econbiz.de/10010301752