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A capital allocation based on a solvency exchange option
A capital allocation based on a solvency exchange option This is an abstract for a paper that introduces ... allocation method based on the idea of a solvency exchange option. Allocation;Insurance;Risk Management; 14457 ...- Authors: Joseph Hyun-Tae Kim
- Date: Nov 2008
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Measuring and managing systemic risk
managing systemic risk This abstract describes a paper that proposes the use of the Co Conditional Tail ... 'CoCTE' to measure systemic risk and endogenizes the pro-cyclicality of capital requirements. Conditional ...- Authors: Phelim Boyle, Joseph Hyun-Tae Kim
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Systemic risk