Practical application of the risk-adjusted return on capital framework
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cam a22000004b 4500 | ||
| 001 | MAP20130015620 | ||
| 003 | MAP | ||
| 005 | 20130514154258.0 | ||
| 008 | 130514s2002 usa|||| ||| ||eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a7 | ||
| 100 | 1 | $0MAPA20130006130$aWard, Lisa S. | |
| 245 | 0 | 0 | $aPractical application of the risk-adjusted return on capital framework$cLisa S. Ward and David H. Lee |
| 260 | $a[S.l.$bs.n.$c2002] | ||
| 520 | $aThis paper applies a risk-adjusted return on capital (RAROC) framework to the financial analysis of the risk and performance of an insurance company. A case study is presented for a diversified insurer with both property & casualty and life insurance business segments. The approach first quantifies the probability distributions of the different types of risk the institution faces: non-catastrophe liability risk, catastrophe risk, life risk, asset-liability mismatch (ALM) risk, credit risk, market risk, and operating risk. These risk type distributions are then aggregated to create an integrated risk distribution for the institution | ||
| 650 | 1 | $0MAPA20130006109$aRAROC | |
| 650 | 1 | $0MAPA20130006116$aRentabilidad ajustada al riesgo | |
| 650 | 1 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 1 | $0MAPA20080590567$aEmpresas de seguros | |
| 650 | 1 | $0MAPA20080603519$aRentabilidad bancaria | |
| 650 | 1 | $0MAPA20130006123$aCapital económico | |
| 700 | 1 | $0MAPA20130006147$aLee, David H. |