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Assessing the model risk with respect to the interest rate term structure under Solvency II

Martin, Michael - In: Journal of Risk Finance 14 (2013) May, pp. 200-233

introducing calibration methods for short rate models, the author quantifies interest rate and credit risk for corporate and …Purpose – Interest rate risk, i.e. the risk of changes in the interest rate term structure, is of high relevance in … insurers' risk management. Due to large capital investments in interest rate sensitive assets such as bonds, interest rate risk …

Persistent link: https://www.econbiz.de/10010709785

Assessing the model risk with respect to the interest rate term structure under Solvency II

Martin, Michael - In: The Journal of Risk Finance 14 (2013) 3, pp. 200-233

Persistent link: https://www.econbiz.de/10014902110

Quantifying credit and market risk under Solvency II: Standard approach versus internal model

Gatzert, Nadine; Martin, Michael - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 649-666

Even though insurers predominantly invest in bonds, credit risk associated with government and corporate bonds has long … not been a focus in their risk management. After the crisis of several European countries, however, credit risk has … regulators for deriving solvency capital requirements, still does not require capital for credit risk inherent in, e.g., EEA …

Persistent link: https://www.econbiz.de/10010594514

A deeper understanding of payment shock dynamics

Verma, Nidhi - In: Journal of risk management in financial institutions 10 (2016/2017) 3, pp. 276-281

Persistent link: https://www.econbiz.de/10011800766

Internal models for deposits : effects on banks' capital and interest rate risk of assets

Dal Borgo, Mariela - In: Journal of banking & finance 135 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013401973

The effect of credit and market risk on bank performance : evidence from Turkey

Ekinci, Aykut - In: International journal of economics and financial issues … 6 (2016) 2, pp. 427-434

Persistent link: https://www.econbiz.de/10011696330

Economic Growth and Integration in Central America

Schipke, Alfred; Desruelle, Dominique - International Monetary Fund (IMF) - 2007

How to entrench hard-won gains, increase resilience to shocks, and improve growth performance to reduce poverty? As Central America moves forward in regaining macroeconomic stability, these are the challenges. This study analyzes Central Americaâ€™s real, fiscal, monetary, and financial...

Persistent link: https://www.econbiz.de/10005590924

Mortgage Defaults

Martinez, Leonardo; Hatchondo, Juan Carlos; Sanchez, Juan M. - International Monetary Fund (IMF) - 2012

This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the...

Persistent link: https://www.econbiz.de/10009650640

Peru; 2002 Article IV Consultation, First Review Under the Stand-By Arrangement, and Request for Modification and Waiver of Performance Criteriaâ€”Staff Report; Staff Statement; Public Information Notice and News Brief on the Executive Board Discussion; and Statement by the Executive Director for Peru

International Monetary Fund (IMF); International … - 2003

This paper examines Peruâ€™s 2002 Article IV Consultation, First Review Under the Stand-By Arrangement, and a Request for Modification and Waiver of Performance Criteria. The fiscal policy was tightened in early 2002 from the expansionary stance in the second half of 2001. The baseline...

Persistent link: https://www.econbiz.de/10005252655

Albania; 2010 Article IV Consultation: Staff Report; Staff Statement; Public Information on the Executive Board Discussion; and Statement by the Executive Director for Albania

International Monetary Fund (IMF); International … - 2010

Albania enjoyed strong growth with comparatively benign external vulnerabilities before the crisis. Monetary policy provided timely support, and the exchange rate functioned as a shock absorber. However, policy buffers are now exhausted and must be rebuilt. Fiscal tightening has to be quickly...

Persistent link: https://www.econbiz.de/10011244179