Designing a countercyclical insurance program for...

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Artículos Artículos Designing a countercyclical insurance program for systemic risk - Boyle, Phelim

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Título: Designing a countercyclical insurance program for systemic risk / Phelim Boyle, Joseph H. T. Kim

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.

Autores secundarios: Kim, Joseph H. T. Icono con lupa

Otras clasificaciones: 7

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/

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