Designing a countercyclical insurance program for systemic risk

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<dc:creator>Boyle, Phelim</dc:creator>
<dc:creator>Kim, Joseph H. T.</dc:creator>
<dc:description xml:lang="es">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.</dc:description>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Riesgo sistémico</dc:subject>
<dc:subject xml:lang="es">Solvencia</dc:subject>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:subject xml:lang="es">Mercados financieros</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Programas de seguros</dc:subject>
<dc:subject xml:lang="es">Crisis financiera</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Designing a countercyclical insurance program for systemic risk</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 03/12/2012 Volumen 79 Número 4  - diciembre 2012 , p. 963-993</dc:relation>