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- W2912881002 abstract "A universal stochastic model-based framework for evaluating the enterprise-wide market risk of financial institutions such as insurers, banks and defined benefit pension funds is presented in this paper. A consistent market risk framework is important given the similarity of some of the market risk exposures carried on the balance sheets of these entities. Most importantly, the proposed risk analysis framework includes a coherent methodology for determining a minimally sufficient time horizon for the adequate measurement of the aggregate market risk of an asset-liability portfolio with a specified holding period. Given that capital is calibrated to the unique holding periods of individual institutions, rather than an arbitrarily determined fixed period for all institutions, exposure of the financial system to systemic risk and procyclicality should also be commensurately reduced." @default.
- W2912881002 created "2019-02-21" @default.
- W2912881002 creator A5077162946 @default.
- W2912881002 date "2012-01-01" @default.
- W2912881002 modified "2023-09-25" @default.
- W2912881002 title "A Universal Stochastic Model-Based Enterprise-Wide Market Risk Framework for Institutions with Illiquid Long-Term Liabilities" @default.
- W2912881002 doi "https://doi.org/10.2139/ssrn.2054940" @default.
- W2912881002 hasPublicationYear "2012" @default.
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