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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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A capital allocation based on a solvency exchange option
A capital allocation based on a solvency exchange option This is an abstract for ... introduces a new capital allocation method based on the idea of a solvency exchange option. Allocation;Insurance;Risk ...- Authors: Joseph Hyun-Tae Kim
- Date: Nov 2008