Internal economic capital models have emerged as the spine and nervous system of corporate operations, enterprise risk management and resource allocation. Assessed by regulators and other stakeholders, internal economic capital models are the expression of a Board's direction and management –the cockpit of the organisation. A significant proportion of Willis Research Network science is consumed and deployed within internal economic capital models and is where the science has significant influence and impact.
Despite this growing significance, economic capital modelling is in its infancy. Institutions and practitioners struggle with fundamental challenges, tactical uncertainties, and day–to–day choices. There is a growing demand for a shared bed-rock of understanding, peer reviewed methodologies, tools, and best practice to enable organisations and professionals to move forward with greater confidence.
Internal economic capital models integrate the broad spectrum of financial, operational and underwriting risk faced by insurance companies into a decision making framework. In response the Willis Research Network has formed the Willis Economic Capital Forum at Georgia State University, in partnership with Risklab ETH Zurich and the Risk Management Institute at the National University of Singapore to provide a focal point for this central discipline among professional, academic and regulatory communities world-wide.
Date: May 09, 2013 | Type: Article |
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Pillar: Economic Capital & ERM
Hub: Financial Stability & Insurance Regulation
Authors: National University of Singapore Risk Management Institute
Fields: Operational Risk
Summary: The Quarterly Credit Report (QCR) is an analysis of credit outlooks across regions, economies and sectors. This analysis incorporates probabilities of default (PD) generated by the Risk Management Institute’s (RMI) default forecast model, a part of the RMI Credit Research Initiative at the National University of Singapore (NUS). The objective of the QCR is to provide insights on trends in credit outlooks to credit professionals, investors and researchers.
Date: Jan 08, 2013 | Type: Paper |
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Pillar: Economic Capital & ERM
Hub: Systemic Risk
Authors: Lee Howell, World Economic Forum, Editor in Chief
Fields:
Summary: The World Economic Forum’s Global Risks 2013 report is developed from an annual survey of over 1,000 experts from industry, government, academia and civil society who were asked to review a landscape of 50 global risks.
Date: Sep 03, 2012 | Type: Article |
Journal: Journal of Econometrics | Ext. Link: Click Here ›
Pillar: Economic Capital & ERM
Hub: Socio-Economic Impact & Industry Risks
Authors: Jin-Chuan Duan, Jie Sun, Tao Wang
Fields:
Summary: In this paper a forward intensity model for the prediction of corporate defaults over different future periods is proposed.
Date: Jul 31, 2012 | Type: Article |
Journal: Global Credit Review | Ext. Link: Click Here ›
Pillar: Economic Capital & ERM
Hub: Insurance & Sustainable Business
Authors: Jin-Chuan Duan, Tao Wang
Fields:
Summary: This article reviews several empirical methodologies for estimating Distance-to-default (DTD), a popular measure for gauging how far a limited-liability firm is away from default.
Date: Apr 29, 2011 | Type: Article | Attachment: Download File ›
Journal: Lithuanian Mathematical Journal | Ext. Link: Click Here ›
Pillar: Economic Capital & ERM
Hub: Financial Stability & Insurance Regulation
Authors: Paul Embrechts and Marius Hofert
Fields:
Summary: This paper provides an introduction and overview to operational risk modeling according to the Basel II legal documents and summarize observed practices and issues as well as suggested approaches for measuring and quantifying operational risk.
Date: Jan 01, 2011 | Type: Paper |
Pillar: Economic Capital & ERM
Hub: Systemic Risk
Program: OECD High Level Risk Forum
Authors: Nan Zhu and Daniel Bauer
Fields: Life Insurance - Economic Capital Modelling
Summary: Two of the most important challenges for the application of stochastic mortality models in life insurance practice are their complexity and their apparent incompatibility with classical life contingencies theory, which provides the backbone of insurers' EDP systems......
Date: Sep 01, 2010 | Type: Paper |
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Pillar: Economic Capital & ERM
Authors: Marius Hofert
Fields: Credit Risk Modelling
Summary: Presents an extension of the model suggested by Schönbucher and Schubert to account for the fact that that modeled portfolio components affected by defaults show significantly different levels of dependence depending on whether they belong to the same industry sector or not.
Date: Sep 01, 2010 | Type: Paper | Attachment: Download File ›
Pillar: Economic Capital & ERM
Authors: Chieh Ou-Yang and Neil Doherty
Fields: Alternative Risk Transfer
Summary: This paper examines whether parimutuels can hedge risk-averse people against catastrophic losses.
Date: Aug 10, 2010 | Type: Paper | Attachment: Download File ›
Pillar: Economic Capital & ERM
Authors: Daniel Bauer, Daniela Bergmann and Andreas Reuss
Fields: Regulation: Solvency 2 & Life Insurance Risk Capital
Summary: This paper provides a mathematical framework for the derivation of the required risk capital under Solvency II and reviews different alternatives for the numerical implementation based on nested simulations. In particular, we seek to provide guidance for practitioners by illustrating and comparing the different techniques based on numerical experiments.
Date: Jun 11, 2010 | Type: Presentation | Attachment: Download File ›
Conf: International Insurance Society Annual Meeting, Madrid, June 2010 |
Pillar: Economic Capital & ERM
Hub: Financial Stability & Insurance Regulation
Authors: Rowan Douglas
Fields: Catastrophe, Capital and Regulatory Modelling
Summary: A description of how science, catastrophe risk modelling, internal capital modelling and regulatory and credit modelling and forming an integrated supply chain. presented at International Insurance Society Annual Meeting, Madrid, June 2010
Date: Jun 01, 2010 | Type: Paper |
Journal: Financial Markets and Portfolio Management | Ext. Link: Click Here ›
Pillar: Economic Capital & ERM
Authors: Marius Hofert, Matthias Scherer and Rudi Zagst
Fields: Credit Risk Modelling
Summary:
Date: Jan 01, 2010 | Type: Paper |
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Pillar: Economic Capital & ERM
Authors: Nigel Meade
Fields: Exposure & Vulnerability
Summary:
Date: Nov 01, 2009 | Type: Paper |
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Pillar: Economic Capital & ERM
Authors: Markus Stricker
Fields:
Summary: http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6WK9-4XG3S83-3&_user=10&_coverDate=07%2F31%2F2010&_rdoc=1&_fmt=high&_orig=search&_origin=search&_sort=d&_docanchor=&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=1d88745058c7c658c94732db859c4f21&searchtype=a
Date: May 02, 2009 | Type: Paper |
Pillar: Economic Capital & ERM
Hub: Science & Innovation
Authors: Patrick McSharry D. Orrell
Fields: Atmospheric
Summary: An outline of the main foundations for a theory of systems economics.
Date: May 01, 2009 | Type: Paper |
Pillar: Economic Capital & ERM
Hub: Science & Innovation
Authors: Markus Stricker
Fields: GIS & Geovisualisation
Summary: http://www.springerlink.com/content/g717782128n57721/
Date: Apr 19, 2009 | Type: Article |
Pillar: Economic Capital & ERM
Authors: Pascal Goderniaux, Serge Brouyère, Hayley J. Fowler, Stephen Blenkinsop, René Therrien, Philippe Orban, Alain Dassargues
Fields: Hydrological
Summary: This study provides an improved methodology for the estimation of the impacts of climate change on groundwater reserves, where a physically-based surface–subsurface flow model is combined with advanced climate change scenarios for the Geer basin (465 sq km), Belgium.
Date: Mar 01, 2008 | Type: Paper |
Journal: Quantitative Finance | Ext. Link: Click Here ›
Pillar: Economic Capital & ERM
Authors: Marius Hofert & Matthias Scherer
Fields:
Summary: In this paper the authors present a default model based on nested Archimedean copulas that is able to capture hierarchical dependence structures among the obligors in a credit portfolio.