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Economic capital in the limelight

Economic capital in the limelight “Economic capital (EC) is in – Value at Risk (VaR) is out!” This statement by James Lam, well known to be the first Chief Risk Officer (CRO) worldwide, at the April 2004 Enterprise Risk Management (ERM) Symposium in Chicago, caused quite a reaction by the attendees. What is EC? Why are banks and insurance companies focused on calculating EC? What are the differences between EC and regulatory or rating agency capital? What are rating agencies’ views towards EC? This paper, summarising a panel on this topic, which was held at the ERM Symposium in Chicago in April of this year, attempts to answer these questions, focusing on the application of EC to life insurance companies. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Financial Regulation and Compliance Emerald Publishing

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Publisher
Emerald Publishing
Copyright
Copyright © 2004 Emerald Group Publishing Limited. All rights reserved.
ISSN
1358-1988
DOI
10.1108/13581980410810894
Publisher site
See Article on Publisher Site

Abstract

“Economic capital (EC) is in – Value at Risk (VaR) is out!” This statement by James Lam, well known to be the first Chief Risk Officer (CRO) worldwide, at the April 2004 Enterprise Risk Management (ERM) Symposium in Chicago, caused quite a reaction by the attendees. What is EC? Why are banks and insurance companies focused on calculating EC? What are the differences between EC and regulatory or rating agency capital? What are rating agencies’ views towards EC? This paper, summarising a panel on this topic, which was held at the ERM Symposium in Chicago in April of this year, attempts to answer these questions, focusing on the application of EC to life insurance companies.

Journal

Journal of Financial Regulation and ComplianceEmerald Publishing

Published: Dec 1, 2004

Keywords: Economic capital; Risk; Capital management; Life insurance

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