Designing a countercyclical insurance program for systemic risk
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20130001876 | ||
| 003 | MAP | ||
| 005 | 20130227135123.0 | ||
| 008 | 130125e20121203esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a7 | ||
| 100 | 1 | $0MAPA20130000817$aBoyle, Phelim | |
| 245 | 1 | 0 | $aDesigning a countercyclical insurance program for systemic risk$cPhelim Boyle, Joseph H. T. Kim |
| 520 | $aThis 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. | ||
| 650 | 1 | $0MAPA20100016923$aRiesgo sistémico | |
| 650 | 1 | $0MAPA20080552701$aSolvencia | |
| 650 | 1 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 1 | $0MAPA20080597641$aMercados financieros | |
| 650 | 1 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 1 | $0MAPA20080598440$aProgramas de seguros | |
| 650 | 1 | $0MAPA20080579814$aCrisis financiera | |
| 700 | $0MAPA20100046364$aKim, Joseph H. T. | ||
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g03/12/2012 Volumen 79 Número 4 - diciembre 2012 , p. 963-993 |