Quantitative models for risks managing and pricing in bank and insurance sectors under the new EU regulation.
The recent economic crisis has heavily affected the banking sector with consequences on the business model. Risk management and measurement has become the main goal for insurances and Banking regulatory authorities. Banks and insurance companies have to Implement and validate risk models in line with their exposures and adequately define capital regulatory requirements. New multivariate risk measures have to be developed and implemented using adequate methodologies which require the use of scenario analysis and latent variables. Systemic risk, liquidity risk, market risk and credit risk have become the major risk sources which allow to estimate the Risk Weighted Assets and the regulatory capital. Scenario analysis will be developed to estimate the probability distributions of the various exposures and the corresponding dynamics. The project aims to develop adequate methodologies for risk measurement and management in the banking and insurance sectors. The use of quantitative and qualitative variables to identify strategic choices represents key inputs. The final goal is to provide banks and insurances with the adequate risk measurement tool consistent with the new regulatory framework. Financial institutions should be able to run their usual business and play the crucial role for the economic system and growth.