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Das Thema der Kapitalallokation und risikoadjustierten Performancesteuerungwird im Finanzdienstleistungssektor intensiv …
In their 2001 Journal of Risk and Insurance article, Stewart C. Myers and James A.Read, Jr., propose to use a specific capital allocation method for pricing insurancecontracts. We show that in their model framework no capital allocation to lines ofbusiness is needed for pricing insurance...
We characterize a firm as a nexus of activities and projects with their associated cashflows. Production and operations activities and real risk management activities distribute cashflows over states of nature and time periods, leading to a transformation possibility frontier similar to a...
Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution-wide hurdle rate is inconsistent with the standard theory of financial valuation. We use asset pricing theory to determine the appropriate hurdle rate for such a RAROC...
We characterize a firm as a nexus of activities and projects with their associated cashflow distributions across states of the world and time. With specialized managers intent on maximizing firm value, we show that such a representation leads to a transformation possibility frontier between the...
Der Beitrag beschäftigt sich mit Aspekten der Identifikation und Bewertung der Rendite-/Risikoprofile von Teileinheiten des Versicherungskonzerns. Neben typisch versicherungstechnischen Einflüssen, wie beispielsweise die Gestaltung von Underwriting und Reservebildung, wird hier auch der...
We disentangle different driving factors of sovereign bond market integrationby studying yield co-movements of EMU countries, the UK, the US and 16German L¨ander in the last 15 years. At a low frequency of weeks, bondmarket integration has increased gradually in the course of the last 15 years...
The paper discusses several central issues of a RAPM-approach: Virtual risk adjusted capital (VRAC) on the company level, return on risk adjusted capital (RORAC), risk based capital allocation to business segments, RAPM for business segments. RORAC-based premium principles are presented and...
Die vorliegende Ausarbeitung hat die systematische Aufarbeitung von Techniken der risikobasierten Kapitalallokation zum … liegenden Kapitalkonzeption vorzunehmen sowie auf die auf einer Kapitalallokation aufbauenden Anwendungsfelder einzugehen. ... …