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Mr. Wizard
12-04-2009, 01:44 PM
Is anyone aware of any research or books that discuss different ways for allocating capital requirements within a company, that relies upon economic capital calculations?

I'd also be interested in any of your views on the subject. How do companies do this today? How should it be done?

Car'a'carn
12-04-2009, 03:08 PM
This page (http://www.soa.org/professional-interests/joint-risk-management/jrm-research.aspx) has some stuff. The specialty guide (http://www.soa.org/files/pdf/news-pub-2004-spg-econ.pdf) was on the FETE 2009 exam.

JMO
12-04-2009, 03:29 PM
A couple of really old articles in NAAJ:
www.soa.org/library/journals/north-american-actuarial-journal/2006/april/naaj0602_3.pdf
www.soa.org/library/journals/north-american-actuarial-journal/2007/january/NAAJ0701_09.pdf

And an AFIR colloquium, also really old
www.actuaries.org/AFIR/Colloquia/Boston/Sherris_VanDerHoek.pdf

Please let me know if any of these links proves useful. I got them in a bing vs. google test.

Jack
12-08-2009, 08:35 AM
Using EC to do anything really hit a major setback at year end 2008 as a very low USD swap curve and insanely high credit spreads made a bad situation look much worse than it actually was (and it was bad).


Now there is a shitload of debate about liquidity premiums. This has really thrown a wrench in the machine.

Paintball Wizard
02-21-2012, 11:45 PM
Using EC to do anything really hit a major setback at year end 2008 as a very low USD swap curve and insanely high credit spreads made a bad situation look much worse than it actually was (and it was bad).


Now there is a shitload of debate about liquidity premiums. This has really thrown a wrench in the machine.

I think the phrase I've heard used is "procyclicality".