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Asset insulators
Chodorow-Reich, Gabriel; Ghent, Andra C.; Haddad, Valentin - 2018
Persistent link: https://www.econbiz.de/10011914244
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Asset insulators
Chodorow-Reich, Gabriel; Ghent, Andra C.; Haddad, Valentin - In: The review of financial studies 34 (2021) 3, pp. 1509-1539
Persistent link: https://www.econbiz.de/10012434849
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Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis
Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012
Persistent link: https://www.econbiz.de/10009544686
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Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio
Cotticelli, Stefano; Savelli, Nino - In: Annals of actuarial science : publ. by the Institute of … 18 (2024) 1, pp. 205-236
Persistent link: https://www.econbiz.de/10014519979
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Optimal asset allocation for interconnected life insurers in the low interest rate environment under solvency regulation
Niedrig, Tobias - 2015 - This version: December 2014
I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment strategies of life insurance companies. Especially for life insurance...
Persistent link: https://www.econbiz.de/10010510056
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Optimal asset allocation for interconnected life insurers in the low interest rate environment under solvency regulation
Niedrig, Tobias - In: The journal of insurance issues : official journal of … 38 (2015) 1, pp. 31-71
Persistent link: https://www.econbiz.de/10011380756
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A gap between rational annuitization price for producer and price for customer
Dokučaev, Nikolaj G. - In: Journal of revenue and pricing management 18 (2019) 2, pp. 147-154
Persistent link: https://www.econbiz.de/10012056721
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The impact of cost allocation errors on price and product-mix decisions
Homburg, Carsten; Nasev, Julia; Plank, Philipp - In: Review of quantitative finance and accounting 51 (2018) 2, pp. 497-527
Persistent link: https://www.econbiz.de/10012037129
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Credit Portfolio Modelling and its Effect on Capital Requirements
Bulbul, Dilek - 2016
The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...
Persistent link: https://www.econbiz.de/10012988834