Search Results - subject:"risk capital"

Insurance and the corporate cost of capital

Wieczorek-Kosmala, Monika - In: e-Finanse: Financial Internet Quarterly 8 (2012) 1, pp. 61-71

The purpose of the paper is to provide some support to the thesis that insurance may reduce the cost of capital in a company by influencing both the cost of capital components and the need for rising capital. The problem is here perceived from two perspectives the classical concept related to...

Persistent link: https://www.econbiz.de/10010289553

ROM Simulation: Applications to Stress Testing and VaR

Alexander, Carol; Ledermann, Daniel - Henley Business School, University of Reading - 2012

Most banks employ historical simulation for Value-at-Risk (VaR) calculations, where VaR is computed from a lower quantile of a forecast distribution for the portfolio’s profit and loss (P&L) that is constructed from a single, multivariate historical sample on the portfolio’s risk factors....

Persistent link: https://www.econbiz.de/10010838048

A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems

De Waegenaere, Anja; Norde, Henk; Boonen, T.J. - Tilburg University, Center for Economic Research - 2012

Abstract: This paper analyzes risk capital allocation problems. For risk capital allocation problems, the aim is to … allocate the risk capital of a firm to its divisions. Risk capital allocation is of central importance in risk …-based performance measurement. We consider a case in which the aggregate risk capital is determined via a coherent risk measure. The …

Persistent link: https://www.econbiz.de/10011092920

Peopleâ€™s Republic of China; Detailed Assessment Report: IOSCO Objectives and Principles of Securities Regulation

International Monetary Fund (IMF); International … - 2012

This paper discusses a detailed assessment report on the observance of Chinaâ€™s compliance with the International Organization of Securities Commission's objectives and principles of securities regulation. The reform of nontradable shares introduced a market-based pricing system for...

Persistent link: https://www.econbiz.de/10011242961