What market features of Credit Defaults Swaps (CDS) exacerbate counterparty risk? To answer this, we formulate a model which elucidates key differences between these and traditional insurance contracts. First, we allow for insurer insolvency with asymmetric information as to its probability. We...

Amartya Sen has argued that many development and freedom measures such as health, education, political and civil liberties are important constituents of human welfare. We concur with Sen and conjecture that an important reason these measures affect human welfare is because they allow individuals...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

We investigate how investor protection, government quality, and contract enforcement affect risk-taking and performance of insurance companies from around the world. We find that better investor protection results in less risk-taking, as do higher quality government and greater contract...

The paper analyzes the use of credit default swaps (CDS) for regulatory capital relief and its consequences for systemic risk. Equity capital acts as a buffer against losses, and reduces incentives for excessive risk taking. Basel capital regulation states that banks can lower capital...

The following article reviews the recent regulatory efforts in defining systemic risk in the insurance sector and the designation of systemically important insurers. Although current evidence suggests that core insurance activities are unlikely to cause or propagate systemic risk, the...

We put climate risks in the perspective of model risk using a model in the wide sense. Climate risks are systemic risks and may be clustered according to so-called volatilities, uncertainties, complexities and ambiguities (VUCA) criteria. The dominating VUCA component of climate risk is...

Das Eingehen von Pensionsverpflichtungen ist für Unternehmen mit vielfältigen Risiken verbunden. In diesem Papier werden am Beispiel der Pensionszusage die Auswirkungen zweier Risikofaktoren auf die Pensionsrückstellungen von Unternehmen untersucht: Des vorzeitigen Rentenbezugs und des für...

This paper analyzes the numerical impact of different surplus distribution mechanisms on the risk exposure of a life insurance company selling with profit life insurance policies with a cliquet-style interest rate guarantee. Three representative companies are considered, each using a different...

How successful are the SEC’s attempts to regulate dynamic risk in financial markets? Using mutual fund disclosure data from two financial shocks—the Puerto Rican debt crisis and COVID-19—we find evidence that SEC open-ended regulations, like the obligation to disclose changing market...