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Modeling Insurance Mitigation on Operational Risk Capital
Company: Journal of Operational Risk
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: Spring
Pages: 57-65
Download Count: 543
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 11-11-2006
Publisher: Administrator
Summary
In this paper a model considering insurance hedging when measuring operationalrisk is presented. The residual risk inherent in insurance contracts isconsidered, including haircuts due to the residual term of the policy, paymentuncertainty and the default risk of a counterparty (see Brandts (2004)).
Author(s)
Bazzarello, Davide Sign in to follow this author
Crielaard, Bert Sign in to follow this author
Piacenza, Fabio Sign in to follow this author
Soprano, Aldo Sign in to follow this author
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