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Measuring and managing systemic risk
This abstract describes a paper that proposes the use of the Co Conditional Tail Expectation 'CoCTE' ... to measure systemic risk and endogenizes the pro-cyclicality of capital requirements. Conditional Tail ...- 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
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The expected discounted penalty at ruin for a risk model with two-sided jumps
The expected discounted penalty at ruin for a risk model with two-sided jumps This abstract describes ... that considers a general risk model in which both the claim and income gain arrivals follow Poisson processes ...- Authors: Yi Lu, Shuanming Li
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods
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Managing Social Media Risk in Utilities
Utilities Abstract: This paper examines the potential impact of increasing negative commentary by social ... in multiple forums, which can erode the “reputation capital” of a utility. It also offers an approach ...- Authors: Charles Tooman
- Date: Apr 2013
- Competency: External Forces & Industry Knowledge; Leadership; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Operational risks; Enterprise Risk Management>Portfolio management - ERM; Enterprise Risk Management>Risk appetite; Enterprise Risk Management>Risk categories; Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Strategic risks; Enterprise Risk Management>Systematic risk; Enterprise Risk Management>Systemic risk
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Ruin theory with Parisian delays
Ruin theory with Parisian delays This abstract describes a paper that studies Gerber-Shiu functions ... model driven by a spectrally negative Levy process of bounded variation. Bankruptcy;Dividends; 14594 ...- Authors: David Landriault, Jean-Francois Renaud, Xiaowen Zhou
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods
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Optimal reinsurance problems involving risk measures
measures This abstract describes a paper that studies the optimal reinsurance problem when risk is measured ... will show no sensitivity, insofar as it will solve the optimal reinsurance problem for many risk measures ...- Authors: Beatriz Balbas-Aparicio
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Risk measurement - ERM; Reinsurance
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Compatibility between prices and risks
Compatibility between prices and risks This abstract describes a paper that deals with ... rules and risk measures and introduces two kinds of compatibility between prices and risks. Asset valuation;Risk ...- Authors: Raquel Balbas
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Risk measurement - ERM