Risk Management for
Insurers
Risk Control, Economic Capital and
Solvency II
Rene Doff
Insurers are adopting some methods of capital adequacy first developed for banks. This started with
Risk-Based Capital in the United States. Other countries pursued similar
regulations. Now Europe is adopting Solvency II. This book opens with
some painfully elementary chapters but then moves on to a solid overview
of the current state of affairs. It is a short book, so there is little
technical depth. It is a nice overview for anyone who is new to Risk-Based Capital or Solvency II ...
Value-at-Risk and Bank
Capital Management
Francesco Saita
Looks at bank capital management in a Basel II
framework. It addresses market, credit and operational risk; their
aggregation into some metric of bank capital; risk-adjusted performance
metrics; and related topics. The book lacks technical depth. Indeed, at
just 259 pages, it is too short to do all these topics justice.
Published by a house
suspected of sabotaging its own books on value-at-risk to benefit a
certain competing author, the book's sales have been pitiful ...
Economic Capital Modeling
Iman van Lelyveld
2006
This book contains
papers that developed out of a Working Group on Economic Capital Models
that was formed by three Dutch banking or insurance associations. The
book seeks to assess the state of economic capital modeling in
conglomerates that combine financial and insurance business lines ...
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Optimal Risk-Return Trade-Offs of Commercial
Banks
Are risk-adjusted performance
metrics (RAPMs) developed for the capital markets, but are they relevant
for bank loan portfolios? They are used in that context despite the
characteristics of commercial banks that set them apart from trading
portfolios—issues such as bank shareholders' limited liability, costs of
bankruptcy, and the reasonable requirement that banks maintain a level
of solvency suitable for their credit rating. Kuhn explores these issues
and develops a model for bank loan portfolios to assess the suitability
of various RAPMs for that context ...
Performance Measurement in Financial Institutions
in an ERM Framework
Ashish Dev and Vandana Rao
2006
Risk-adjusted return on
capital (RAROC), funds transfer pricing, activity-based cost (ABC)
accounting, economic profit, active credit portfolio management (ACPM).
Call them performance metrics; call them management tools; or call them
buzzwords. They are the topics of this ambitious book. It sets our to
survey techniques of performance measurement ...
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Value Added Risk Management
In Financial Institutions
David Belmont
2004
Economic capital
allocation and risk-adjusted performance metrics were pioneered by
Bankers Trust during the early 1980s. Over time, similar techniques have
been adopted by some, but not all, major financial institutions. The
techniques largely parallel the Basle Committee's regulatory capital
guidelines for banks, but are modified to support internal decision
making ... Read more
Credit Risk Models
and the Basel Accords
D. van Deventer and K. Imai
2004
Credit risk modeling is
a hot topic these days, with changes taking place in the Basel Accord
and innovative reduced form and Merton-style models challenging
traditional credit analysis ...
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Economic Capital
A Practitioner Guide
Ashish Dev
2004
Risk adjusted return on
capital (RAROC) and related methodologies have been around for 20 years.
Development of the new Basle II guidelines for regulatory bank capital
have spurred new interest in such techniques. The new catchword for all
this is economic capital. The thinking is that ...
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Risk Management and Value Creation in Financial
Institutions
Gerhard Schroeck
2002
Schroeck has written a
theoretician's text on risk management and capital allocation within
banks ... Read more
Managing Bank Capital: Capital Allocation and Performance
Measurement
Chris Matten
2000
When people talk of bank capital, this is the book that
comes to mind. The first edition was a short text that focused primarily
on economic capital and concepts such as RAROC. That was so successful
that the author vastly expanded it as this second edition. Now the book
is an in-depth look at bank capital ...
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