Outsiders in #bank#boards improve #riskgovernance (decrease #risktaking, increase #riskmonitoring) for #regulatory#riskmeasures but worsen risk governance for economic risk measures.
Examines the relationship between #crime and #insurance, with a focus on the role of #governance, #riskassessment and #riskmanagement, #crimeprevention, #securitytechnology, #behavioraleconomics, #theft, #kidnap and #hijack for ransom, #fraud, and #ransomware. It analyzes five case studies to identify a co-evolutionary process in which #insurers collaborate with insureds, governments, and #thirdparty to #mitigaterisk, particularly when criminal innovations destabilize the #insurancemarket.
This paper explores the optimal #reinsurance design for an #insurer with multiple lines of business, where the dependence structure between #risks is unknown. The study considers Value-at-Risk (#var) and Range-Value-at-Risk (#rvar) as #riskmeasures and applies general premium principles. The optimal reinsurance strategies are obtained under budget constraint and expected profit constraint.
"We discuss different properties and representations of default #riskmeasures via monetary risk measures, families of related #tailrisk measures, and Choquet capacities. In a second step, we turn our focus on #defaultrisk measures, which are given as worst-case [#probability of #default] PDs and distorted PDs. The latter are frequently used in order to take into account model risk for the computation of #capitalrequirements through risk-weighted assets (#rwas), as demanded by the Capital Requirement #regulation (#crr). In this context, we discuss the impact of different default risk measures and margins of conservatism on the amount of risk-weighted assets."
This paper analyzes the relationship between the #baseliii countercyclical #capitalbuffer (#CCyB) and the #liquidity coverage #ratio (#lcr) requirement. The study shows that banks face a risk-liquidity trade-off with the LCR, affecting the CCyB required level to dampen cyclicality in #bank actual #capitalratios.
This paper proposes a novel mixed-frequency quantile vector autoregression (MF-QVAR) model that uses a #bayesian framework and multivariate asymmetric Laplace distribution to estimate missing low-frequency variables at higher frequencies. The proposed method allows for timely policy interventions by analyzing conditional quantiles for multiple variables of interest and deriving quantile-related #riskmeasures at high frequency. The model is applied to the US economy to #nowcast conditional quantiles of #gdp, providing insight into #var, Expected Shortfall, and distance among percentiles of real GDP nowcasts.
"#annuities, #longtermcareinsurance and #reversemortgages remain unpopular to manage #longevity, medical and housing price #risks after #retirement. We analyze low demand using a life-cycle model structurally estimated with a unique stated-preference survey experiment of #canadian households."
We define the degree of #banking integration in the #eurozone through different phases of the #economic cycle, from 2006 to 2020, with #complexnetworks and #clusteralgorithms … Regarding the nodes of the network, #germany yields the position of centrality in favor of #france.
The #covid19 #pandemic revealed shortcomings in #supplychainmanagement and highlighted the need for rebuilding #supplychains for #resilience to respond to #systemwide #disruptions. This study outlines an approach to rebuilding supply chains for resilience, integrating innovation in areas critical to supply chain management. The authors focus on three areas deemed foundational to #supplychainresilience: forecasting, #supplychainrisk #riskmanagement, and product design.
The #covid19 #pandemic challenged every aspect of business and forced organizations to shift into #crisismode. The pandemic re-exposed issues associated with #siloedthinking in #riskmanagement. For organizations with inadequate #erm policies, plans, or procedures, this is a crucial time to reflect on improving their ERM processes through the capture and transfer of Covid-related lessons. This study explores how concept #riskmapping can be a valuable tool to structure lessons learned capture, ensure risk information is considered, and focus on ERM practice improvements.