Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [93]

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Bullet points include: Capital adequacy is (should be?) policyholder/regulator focused So VaR mindset is wrong for it Use of TVaR would redress the lack of focus on LGD within VaR

Bullet points include: Capital adequacy is (should be?) policyholder/regulator focused So VaR mindset is wrong for it Use of TVaR would redress the lack of focus on LGD within VaR

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