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Bond portfolio management under Solvency II regulation

Drenovak, Mikica; Ranković, Vladimir; Urošević, Branko; … - In: The European journal of finance 27 (2021) 9, pp. 857-879

Persistent link: https://www.econbiz.de/10012516137

Liquidity and Risk Management

Garleanu, Nicolae B. - 2007

This paper provides a model of the interaction between risk-management practices and market liquidity. On one hand …, tighter risk management reduces the maximum position an institution can take, thus the amount of liquidity it can offer to the … market. On the other hand, risk managers can take into account that lower liquidity amplifies the effective risk of a …

Persistent link: https://www.econbiz.de/10012465769

Backtesting an equity risk model under Solvency II

Santomil, Pablo Durán; González, Luís Otero; Cunill, … - In: Journal of business research : JBR 89 (2018), pp. 216-222

Persistent link: https://www.econbiz.de/10011881772

Solvency II, or how to sweep the downside risk under the carpet

Weber, Stefan - In: Insurance / Mathematics & economics 82 (2018), pp. 191-200

Persistent link: https://www.econbiz.de/10011929871

Strategic Asset Allocation and Risk Budgeting for Insurers Under Solvency II

Kouwenberg, Roy - 2017

Solvency II is a new risk-based framework for setting the capital requirements of European insurance companies, in force since January 2016. The solvency capital requirement (SCR) is set such that the insurer can meet its obligations over the next 12 months with a probability of at least 99.5%....

Persistent link: https://www.econbiz.de/10012966126

Fixed-income ETFs : a liquidity illusion?

Maitra, Anando; Satchell, Stephen - In: Journal of risk management in financial institutions 14 (2020/2021) 4, pp. 321-344

Persistent link: https://www.econbiz.de/10012818406

Gamma fragility

Barbon, Andrea; Buraschi, Andrea - 2020 - This version: 5 November 2020

private information) and funding liquidity frictions (margin requirement). We test our joint hypothesis using a large panel of …

Persistent link: https://www.econbiz.de/10012387248

Default risk and cross section of returns

Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15

Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...

Persistent link: https://www.econbiz.de/10012022028

Firm heterogeneity and credit risk diversification

Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - In: Journal of empirical finance 15 (2008) 4, pp. 583-612

Persistent link: https://www.econbiz.de/10003759687

The effect of regulation on optimal corporate pension risk

Love, David A.; Smith, Paul A.; Wilcox, David W. - In: Journal of financial economics 101 (2011) 1, pp. 18-35

Persistent link: https://www.econbiz.de/10009243009