Internal vs. External risk measures: how capital requirements differ in practice

DOI10.1016/J.ORL.2010.05.003MaRDI QIDQ613362zbMATH OpenOpenAlexFDO

Authors Martin Eling, Luisa Tibiletti

Publication date 20 December 2010

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2010.05.003

zbMATH Keywords

robust statisticsrisk measuresvalue-at-risktail conditional expectationtail conditional median

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Capital requirements, risk measures and comonotonicity
• RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
• A synthesis of risk measures for capital adequacy
• External risk measures and Basel accords
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Allocation of risk capital on an internal market
• Quantifying credit and market risk under Solvency II: standard approach versus internal model
• Salience, systemic risk and spectral risk measures as capital requirements

Cites work

• A note on natural risk statistics
• Coherent measures of risk
• Conditional median: a parametric solution concept for location problems
• Extensions of Stein's Lemma for the Skew-Normal Distribution
• Financial data and the skewed generalized \(t\) distribution
• Mean, median, mode II
• Minimum standards for investment performance: a new perspective on non-life insurer solvency
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Robustness and sensitivity analysis of risk measurement procedures
• THE MEAN-MEDIAN-MODE INEQUALITY: COUNTEREXAMPLES
• The Mean, Median, and Mode of Unimodal Distributions:A Characterization

Cited in

(1)

• Uncertainty Comparison Between Value-at-Risk and Expected Shortfall

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