Economic Capital and Financial Risk Management

Tapadar, Pradip (2011) Economic Capital and Financial Risk Management. In: 13th Global Conference of Actuaries, 20-22 February 2011, Mumbai, India. (The full text of this publication is not available from this repository)

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Abstract

The latest global financial crisis has highlighted the need for financial services firms to adopt comprehensive risk management techniques to identify, manage and mitigate risks promptly and efficiently. To this end, a key risk management tool is to hold sufficient capital to back the risks a business is running. In recent times, financial services regulators have also initiated a move towards risk-based economic capital approach with different regulations for banks (Basel 2 and 3) and insurance firms (Solvency 2). In this paper, a generic definition of economic capital is proposed using a stochastic approach, which is then used to quantify economic capital for a capital repayment mortgage, a lifetime mortgage, a life insurance annuity and a conglomerate operating a range of financial services. The paper highlights economic capital as a risk management tool that unifies capital calculation techniques across all financial services firms and conglomerates, irrespective of their line of operation.

Item Type: Conference or workshop item (Paper)
Subjects: Q Science > QA Mathematics (inc Computing science)
Divisions: Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Actuarial Science
Depositing User: Pradip Tapadar
Date Deposited: 23 Nov 2011 10:25
Last Modified: 25 Nov 2011 09:22
Resource URI: http://kar.kent.ac.uk/id/eprint/28469 (The current URI for this page, for reference purposes)
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