Purpose – The purpose of this paper is to consider the problem of allocating responsibility for risk through a simple classroom vignette that illustrates some of the difficulties encountered in more complex real‐world scenarios. Design/methodology/approach – After considering a number of...

Purpose – This paper is a first attempt to empirically calibrate the default and asset correlation for large companies in India and elaborate its implications for credit risk capital estimation for a bank. Design/methodology/approach – The authors estimate default probabilities and default...

Purpose – The purpose of this paper is to consider the problem of allocating responsibility for risk through a simple classroom vignette that illustrates some of the difficulties encountered in more complex real-world scenarios. Design/methodology/approach – After considering a number of ad...

We pursue two interrelated lines of thought. The first is a conceptual arc from (a) consideration of the unique characteristics of insurance risk, to (b) the quantification of this risk through risk measures, to (c) the application of these concepts to problems of allocating capital within an...