Designing a countercyclical insurance program for systemic risk

Recurso electrónico / electronic resource
MARC record
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1001 ‎$0‎MAPA20130000817‎$a‎Boyle, Phelim
24510‎$a‎Designing a countercyclical insurance program for systemic risk‎$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.
7730 ‎$w‎MAP20077000727‎$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