Economic risk capital of guaranteed cash-flows under Fréchet-Markov return models

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Werner Hürlimann, Suisse
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Summary:
The multi-period economic risk capital of a guaranteed cash-flow under two simple bi- and triatomic Markov chain models of the return is evaluated. It is identified with the conditional value-at-risk of the cash-flow risk given some confidence level. A main application concerns the risk-adjusted return on capital used as a tool of decision making in performance measurement. The obtained results are illustrated and discussed at a real life example.
 
Date: 1 June - Time: 16:15 to 17:45 - Room: 241
Theme: 1.B. Solvency measurements and asset-liability management