Título: Designing a countercyclical insurance program for systemic risk / Phelim Boyle, Joseph H. T. Kim
Autor: Boyle, Phelim
Notas: Sumario: This article proposes a framework for measuring and managing systemic risk. Current solvency regulations have been criticized for their focus on individual firms rather than the system as a whole. We show how an insurance program can be designed to deal with systemic risk through a risk charge on participating institutions. The risk charge is based on the generalized co-conditional tail expectation, a conditional risk measure adapted from conditional value-at-risk. Current regulations have been criticized on the grounds that their capital requirements are procyclical. They require extra capital in periods of extreme stress thus exacerbating a crisis. We show how to construct a countercyclical risk charge and illustrate the approach using a numerical example.
Registros relacionados: En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 03/12/2012 Volumen 79 Número 4 - diciembre 2012 , p. 963-993
Autores secundarios: Kim, Joseph H. T.
Otras clasificaciones: 7
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/