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Operational risk and the Solvency II capital aggregation formula: implications of the hidden correlation assumptions
(Incisive Media, 2016)
We analyze the Solvency II standard formula (SF) for capital risk aggregation in relation to the treatment of operational risk (OR) capital. We show that the SF implicitly assumes that the correlation between OR and the ...
Coordination of capital buffer and risk profile under supervision of Central Bank
(Lociedade Brasileira de Finanças, 2015)
Intellectual capital efficiency and credit risk in sub-Saharan African banks
(Universidad del Zulia, 2019)
Unificando a alocação de capital em bancos e seguradoras no BrasilUnificando a alocação de capital em bancos e seguradoras no Brasil
(RAE - Revista de Administracao de EmpresasRAE - Revista de Administração de EmpresasRAE-Revista de Administração de Empresas, 2004)
The use of Fx derivatives and the cost of capital: evidence of Brazilian companies
(Elsevier Science Bv, 2012-12)
Large corporations have been using derivative instruments as a tool to protect their indirect exposure, as FX risks. A sample with 47 non-financial Bovespa Listed Brazilian companies from 2004 and 2010 was used to test the ...
O uso de derivativos e o custo de capital total ponderado
(2013-01-31)
O presente artigo tem por objetivo demonstrar como a gestão de derivativos e a participação de capital estrangeiro afetam o custo de capital das empresas. Para essa finalidade o trabalho irá testar como impactam nos custos ...
Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks
(Mdpi Ag, 2017-12)
The main objective of this work is to develop a detailed step-by-step guide to the development and application of a new class of efficient Monte Carlo methods to solve practically important problems faced by insurers under ...
Análisis de las características del inversionista sofisticado
(Universidad de LimaPE, 2018)
Presenta un análisis de las principales características, cualidades y atributos de los denominados “inversionistas sofisticados” que operan en el mercado y cuyo análisis en términos de perfil puede permitir el desarrollo ...
Risk regulation in Brazil: a general equilibrium model
(Sociedade Brasileira de Econometria, 2006-05-01)
In the last few years, regulating agencies of many countries, following recommendations of the Basel Committee on Banking Supervision, have compelled financial institutions to maintain minimum capital requirements to cover ...