The advent of the Internal Model Approval Process within Solvency II and the desirability of many insurance companies to gain approval has increased the importance of some topics such as risk aggregation in determining overall economic capital level. The most widely used approach for aggregating...

The advent of the Internal Model Approval Process within Solvency II and the desirability of many insurance companies to gain approval has increased the importance of some topics such as risk aggregation in determining overall economic capital level. The most widely used approach for aggregating...

TIn this paper we assess the level of country risk vs industry risk for the Eurozone national stock markets and the measure of dispersion is used to deliver the desired estimates. We find a significant and permanent increase in the level of country risk since the beginning of the recent global...

We introduce a new discounted cash flow model which adopts the diversification effectof multi-business firms. We face two challenges: One is examining how different diversificationextents can affect the firm value due to risk reduction, and the other is modelingsegment-specific cash flows and...

In the last few years it has been possible to observe decreasing interest margins forGerman universal banks. At the same time, institutions increasingly moved partof their business from interest to fee-earning activities. This study analyzes thedeterminants of non-interest income and its impact...

The minimisation of the return variance is one of the classical topics of portfolio theory. One of the main difficulties of variance minimisation is the neccessary input factors- variances and covariances- of the assets of the investment universe- are unknown. Often these variances and...