نتایج جستجو برای: capital loss
تعداد نتایج: 524242 فیلتر نتایج به سال:
AND KEYWORDS Abstract In 2004, the Basel Committee on Banking Supervision defined Operational Risk (OR) as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. After publication of the new capital accord containing this dfinition, statistical properties of OR losses have attracted considerable attention in the financial industry si...
In an attempt to manage the risk of mismatch between the actual claims and the anticipated claim amounts in motor insurance pool, we introduce a few new concepts of motor loss ratelinked securities such as motor loss rate options and motor loss rate swaps. These hybrid derivatives can transfer the motor insurance loss rate risks to the capital markets. For the valuation of the motor loss rate-l...
The Advanced Measurement Approach requires financial institutions to develop internal models to evaluate regulatory capital. Traditionally, the Loss Distribution Approach (LDA) is used mixing frequencies and severities to build a loss distribution function (LDF). This distribution represents annual losses, consequently the 99.9 percentile of the distribution providing the capital charge denotes...
The purpose of this study is to investigate and identify the periods of formation and bursting of speculative bubbles in Iran's capital market by creating a state space model and two-mode switching regime (mode 1 is bubble growth and burst stage and mode 2 is the time of bubble loss) during the period from April 2011 to March 2018. The Oxmetrics 7 software is used to investigate the existence o...
A substantial number of papers have shown that as workers’ compensation statutory benefits increase, reported claims frequency and severity also increase. While this seems to be a robust finding in the literature, it is not known how these moral hazard responses affect real productivity. Moral hazard is usually regarded as shifting costs from group health medical to workers’ compensation medica...
Operational risk is now increasingly being considered an important financial risk and has been gaining importance similar to market and credit risk. In particular, in the banking regulation for large financial institutions it is required that operational risk be separately measured. The capital being held to safeguard against such risk is very significant at a large financial institution. As ou...
A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event with a single loss variable. The resulting formulas for capital charges are numerically compared to the current proposals by the Basel Committee on Banking Supervision.
A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event with a single loss variable. The resulting formulas for capital charges are numerically compared to the current proposals by the Basel Committee on Banking Supervision.
The Riacho Fundo qualitative model, a product of the Brazilian case study run by the Univeristy of Brasilia in Naturnet project, was evaluated by stakeholders. The Riacho Fundo basin is located near Brasilia, the new capital, and changes in land use are held responsible for major changes in the area, including deforestation, erosion, loss of biodiversity and water resources, and decrease in eco...
This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or loss can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair value for insurance liabilities.
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید