Search Results for author: Lutz Wilhelmy

Found 1 papers, 0 papers with code

Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation

no code implementations22 Jul 2021 Cosimo Munari, Lutz Wilhelmy, Stefan Weber

We provide detailed case studies and applications: We analyze how recovery risk measures react to the joint distributions of assets and liabilities on firms' balance sheets and compare the corresponding capital requirements with the current regulatory benchmarks based on Value at Risk and Average Value at Risk.

Management

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