Search Results - subject:"Risk modeling"

Approximation of aggregate and extremal losses within the very heavy tails framework

Mitov, Ivan; Rachev, Svetlozar; Fabozzi, Frank - In: Quantitative Finance 10 (2010) 10, pp. 1153-1162

The loss distribution approach is one of the three advanced measurement approaches to the Pillar I modeling proposed by Basel II in 2001. In this paper, one possible approximation of the aggregate and maximum loss distribution in the extremely low frequency/high severity case is given, i.e. the...

Persistent link: https://www.econbiz.de/10008675046

Selecting credit rating models: a cross-validation-based comparison of discriminatory power

Ryser, Marc; Denzler, Stefan - In: Financial Markets and Portfolio Management 23 (2009) 2, pp. 187-203

Persistent link: https://www.econbiz.de/10004999723

A multicriteria approach for rating the credit risk of financial institutions

Baourakis, G.; Conisescu, M.; Dijk, G.; Pardalos, P.; … - In: Computational Management Science 6 (2009) 3, pp. 347-356

Persistent link: https://www.econbiz.de/10005061251

Risk and return of reinsurance contracts under copula models

Eling, Martin; Toplek, Denis - In: The European Journal of Finance 15 (2009) 7-8, pp. 751-775

The aim of this article is to study the influence of nonlinear dependencies on the payoff of reinsurance contracts and the resulting effects on a non-life insurer's risk and return profile. To achieve this, we integrate several copula models and reinsurance contracts in a dynamic financial...

Persistent link: https://www.econbiz.de/10008603204

Can risk modeling work?

Sheedy, Elizabeth - In: Journal of Financial Transformation 27 (2009), pp. 82-87

Does the 2007/08 market crisis herald the end of risk modeling and the empirical method? This paper supports the … hypothesis that recent risk modeling problems were caused by the use of inappropriate risk models which are fixable rather than … solution to these problems. The paper also explores some risk modeling issues that arose during the crisis such as the …

Persistent link: https://www.econbiz.de/10008459961

The New Capital Adequacy Framework; Institutional Constraints and Incentive Structures

Karacadag, Cem; Taylor, Michael - International Monetary Fund (IMF) - 2000

This paper considers the implementation challenges facing the Basel Committee’s new proposals on bank capital standards. When compared with the existing Capital Accord, the proposals represent a shift across two intersecting dimensions—regulatory versus economic capital, and rules-based...

Persistent link: https://www.econbiz.de/10005768910

Using Credit Ratings for Capital Requirementson Lending to Emerging Market Economies; Possible Impact of a New Basel Accord

Mulder, Christian B.; Monfort, Brieuc - International Monetary Fund (IMF) - 2000

The Basel Committee on Banking Supervision has proposed linking capital requirements for bank loans to ratings by commercial credit rating agencies. Estimates for 20 emerging market economies show that sovereign ratings react procyclically to crisis indicators. Ratings deteriorate if the real...

Persistent link: https://www.econbiz.de/10005264127

Small-time ruin for a financial process modulated by a Harris recurrent Markov chain

Collamore, Jeffrey; Höing, Andrea - In: Finance and Stochastics 11 (2007) 3, pp. 299-322

Persistent link: https://www.econbiz.de/10005390688

ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS

FABOZZI, FRANK J.; TUNARU, RADU - In: International Journal of Theoretical and Applied … 10 (2007) 08, pp. 1305-1321

paper, we point out some subtleties in credit risk modeling of default baskets and also identify some potential bias in the …

Persistent link: https://www.econbiz.de/10005080464

Economic analysis of the standard reinsurance agreement

Vedenov, Dmitry V.; Miranda, Mario J.; Dismukes, Robert; … - In: Agricultural Finance Review 64 (2004) 2, pp. 119-134

An economic analysis is presented of the Standard Reinsurance Agreement (SRA), the contract governing the relationship between the Federal Crop Insurance Corporation and the private insurance companies that deliver crop insurance products to farmers. The paper outlines provisions of the SRA and...

Persistent link: https://www.econbiz.de/10014667181