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Insurance liabilities are converging with capital markets products e.g. derivatives and securitizations, thereby increasing the demand for integrated asset and liability management strategies. This article compares the valueadded by an integrative approachbased on scenario optimization...
Risk capital is an important input for management functions. Capital structure decisions, capital budgeting, and ex post performance measurement require different measures of risk capital. While it has become common to estimate risk capital using VaR models, it is not clear that VaRbased capital...
In recent years, several methodologies for measuring portfolio credit risk have been introduced that demonstrate the benefits of using internal models to measure credit risk in the loan book. These models measure economic credit capital and are specifically designed to capture portfolio effects...
In the convergence between the capital markets and reinsurance markets, the prime mover of insurance risk into capital markets have been investment banks. Also, among the most active leveraged underwriters of capital market credit risk are reinsurers, as opposed to hedge funds or banks. A key...
In the real world, the variance of portfolio returns provides only a limited quantification of incurred risks, as the distributions of returns have fat tails and the dependence between assets are only imperfectly accounted for by the correlation matrix. Valueatrisk and other measures of risks...
ValueatRisk VaR has become a mainstream risk management technique employed by a large proportion of financial institutions. There exists a substantial amount of research dealing with this task, most commonly referred to as VaR backtesting. A new generation of selflearning VaR models Conditional...
This is the second of three installments introducing fundamental concepts to convergence market participants who are less familiar with financial derivatives markets, instruments and conventions. Each installment includes suggested reading. Future installments will discuss weather, energy, as...
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