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Economic Risk Capital: Part 1
Economic Risk Capital: Part 1 Economic capital is an embedded part of the banking risk management and regulatory framework. The insurance industry has relied on rating agency and regulatory ...- Authors: Hubert B Mueller, Application Administrator, Jose Siberon
- Date: May 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital
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A Practical Concept of Tail Correlation
A Practical Concept of Tail Correlation This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper ...- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models