Risk Management offers comprehensive coverage of the design and operation of a risk management system: its technical modeling and its interplay with the external regulations by which such a system is governed. More specifically, it provides a framework for viewing the policies, methodologies,...

Risk Management offers comprehensive coverage of the design and operation of a risk management system: its technical modeling and its interplay with the external regulations by which such a system is governed. More specifically, it provides a framework for viewing the policies, methodologies,...

According to Basel II criteria, the use of external data is indispensable to the implementation of an advanced method for calculating operational risk capital. This article investigates how the severity and frequencies of external losses are scaled for integration with internal data. We set up...

The objective of this article is to develop a precise and rigorous measurement of a bank's operational VaR. We compare our model to the standard model frequently used in practice. This standard model is constructed based on lognormal and Poisson distributions which do not take into account any...

We test the efficiency associated with the role of memory in long-term contracting. Bonus-malus schemes in automobile insurance are examples of contracts that use memory. During the eighties different contributions showed how multi-period contracting under moral hazard improves resource...

Corporate finance theory predicts that firms' characteristics affect agency costs and hence their efficiency. Cummins et al (2006) have proposed a cost function specification that measures separately insurer efficiency in handling risk pooling, risk management, and financial intermediation...

In this paper, we estimate the impact of introducing a bonus-malus system on the probability of having automobile accidents, taking into account contract duration or the client mobility between insurers. We show that the new incentive scheme reduces accident rates of all policyholders when...

We use the maximum likelihood (ML) estimation approach to estimate the default barriers from market values of equities for a sample of 762 public industrial Canadian firms. The ML approach allows estimating simultaneously the asset's instantaneous drift, volatility and the barrier level, when...