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Practical application of the risk-adjusted return on capital framework

Recurso electrónico / electronic resource
MARC record
Tag12Value
LDR  00000cam a22000004b 4500
001  MAP20130015620
003  MAP
005  20130514154258.0
008  130514s2002 usa|||| ||| ||eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎7
1001 ‎$0‎MAPA20130006130‎$a‎Ward, Lisa S.
24500‎$a‎Practical application of the risk-adjusted return on capital framework‎$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
7001 ‎$0‎MAPA20130006147‎$a‎Lee, David H.