Purpose – The purpose of this paper is to illustrate how risk capital can be calculated and allocated in a multi‐year context. This is an important issue, since strategic management and decision making within insurance companies require a multi‐year time horizon (instead of a one‐year...

Purpose – The purpose of this paper is to examine the determinants of operational losses in insurance companies. Design/methodology/approach – By using most common estimates of frequency and severity of losses that affected business‐lines during 2009, the paper integrates a quantitative...

Purpose – The purpose of this paper is to introduce the zero‐modified distributions in the calculation of operational value‐at‐risk. Design/methodology/approach – This kind of distributions is preferred when excess of zeroes is observed. In operational risk, this phenomenon may be due...

Purpose – Firms facing significant income volatility can often suffer from downside risk such that return on assets is insufficient to meet fixed financial obligations. The purpose of this paper is to provide a prescriptive credit solution for small businesses facing exogenous income risk....

Purpose – The purpose of this paper is to give a review of the standard approaches to extreme value theory. Special focus on the tail of the distribution is underlined, in particular concerning the fat‐tails phenomenon typical of financial returns. The core of the work is then represented by...

Purpose – Risk aversion is an important characteristic associated with family firms. Despite growing literature in recent years, a consistent picture of what we know about the risk aversion of family firms has not evolved. Thus, this paper presents a systematic overview of whether family firms...

Purpose – The purpose of this paper is to identify the relationships between risk management committee characteristics and risk taking of the Malaysia's insurance companies, from 2003‐2011. The paper aims to examine three identified characteristics of a risk management committee, namely,...

Purpose – Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. The purpose of this paper is to find empirical relationship between the default and asset correlation with default probability, to understand the effect of systematic risk....

Purpose – The purpose of this paper is to provide an insight into the differences in the risk management practices of Islamic financial institutions (IFI) and conventional financial institutions (CFI) in Pakistan. Design/methodology/approach – The study makes use of primary data collection...