A Fellowship Forums Wiki Community Post
Topics Covered in this Reading:
What is economic capital?
What are the benefits of economic capital analysis?
How can economic capital Analysis be applied?
What type of risks should be considered?
How should each of those risks be measured?
What modelling decisions shoul inform the analysis?
- VaR vs Tail-VaR
- Stochastic analysis vs stress test
- Real world vs. risk neutral
- Diversification effect
- Time horizon to consider
- Whether to allow negative cumulative surplus in the middle of time horizon
- whether to account for future new business
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