, whilst removing credit risk transmission, systematically increase default risk …

regulation, recovery and resolution, and risk culture. …

I Operational Models of Risk Assessment -- 1 An Analysis of Underwriting Cycles and their Effects on Insurance Solvency … Financial Models for Risk Assessment -- 8 A Synthesis of Property-Liability Insurance Pricing Techniques -- 9 Determining the … yearly aggregate loss estimators. Journal of Risk and Insurance 45:27-52. *Cummins, J. D., G. Dionne, and L. Maistre. 1987 …

metric most sensitive to changes in market conditions, being followed by measure M. Our results can help risk managers to … make rapid decisions regarding the validation of risk models in different scenarios …

This paper studies the economic and theoretical foundations of insolvency risk measurement and capital adequacy rules …. We show that the keys to risk sensitivity, simplicity and comparability are symmetry, proportionality and scale … measuring insolvency risk and capital adequacy in Basel III. We show how insolvency risk measurement, capital adequacy and …

The aggregation of individual risks into total risk using a weighting variable multiplied by two ratio variables … representing incidence and intensity is an important task for risk professionals. For example, expected loss (EL) of a loan is the …, including how changes in EL can be attributed to changes in EAD, PD, and LGD. Other applications such as insurance where the …

The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third …-party investors increase the insolvency risk of banks. This is in particular likely if a bank sells the senior tranche and retains a … sufficiently large first-loss position. The results do not rely on banks increasing leverage after the risk transfer, nor on banks …

Investment banks are in the business of taking calculated risks. Risk management infrastructure facilitates the safe … pursuit of profits and the balancing of associated risks. By 2006, Lehman Brothers was thought to have a very respectable risk … management system, and even its regulator, the Securities and Exchange Commission, viewed its risk framework as being fully …

understanding insurer insolvency risk and the impact of regulatory policies regarding capital standards and group supervision …. Also, insurers with low (high) risk-based capital ratios receive more (less) internal capital contributions than other …