Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

ERM sign in to follow this
enterprise sign in to follow this
concentration sign in to follow this
credit sign in to follow this
default sign in to follow this
insurance sign in to follow this

VaR Uses sign in to follow this
--Integrated Risk Management sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Enterprise Risk Management in Insurance Groups: Measuring Risk Concentration and Default Risk
Company: University of St. Gallen
Year Of Publication: 2007
Month Of Publication: January
Download Count: 368
View Count:
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 5-12-2007
Publisher: Administrator
In financial conglomerates and insurance groups, enterprise risk management isbecoming increasingly important in controlling and managing the different independentlegal entities in the group. The aim of this paper is to assess and relate riskconcentration and joint default probabilities of the group’s legal entities in order toachieve a more comprehensive picture of an insurance group’s risk situation. Wefurther examine the impact of the type of dependence structure on results by comparinglinear and nonlinear dependencies using different copula concepts undercertain distributional assumptions. Our results show that even if financial groupswith different dependence structures do have the same risk concentration factor,joint default probabilities of different sets of subsidiaries can vary tremendousl
Gatzert, Nadine Sign in to follow this author
Schmeiser, Hato Sign in to follow this author
Schuckmann, Stefan Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile