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Estimation of Probability of Defaults (PD) for Low Default Portfolios: An Actuarial Approach
Estimation of Probability of Defaults (PD) for Low Default Portfolios: An Actuarial Approach ... step further, this paper intends to propose a new dynamic mechanism to for the risk management industry for ...- Authors: Nabil Iqbal, Syed A Ali
- Date: Apr 2012
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Risk appetite; Finance & Investments>Economic capital
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A Cost of Capital Approach to Extrapolating an Implied Volatility Surface
A Cost of Capital Approach to Extrapolating an Implied Volatility Surface This paper ... capital concepts as its foundation rather than dynamic replication. The resulting model, called the 'C' ...- Authors: Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Estimation methods
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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement In this Chapter we present ... of risk-adjusted return on capital framework, Dynamic Financial Analysis Discussion Paper, CAS Forum ...- Authors: Klaus Bocker
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Bayesian methods
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Weighted Pricing Functionals
Statistics 9(6): 1135–1151. Tsanakas, Andreas. 2004. Dynamic Capital Allocation with Distortion Risk Mea- sures ... and Portfolio Optimization. CAS Summer Forum, Dynamic Financial Analysis Discussion papers, 43–78.- Authors: Edward Furman, Ricardas Zitikis
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments