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Ryzyko struktury: Rys koncepcyjny
[The Risk of the Structure: Initial proposal]

Author

Listed:
  • Staszkiewicz, Piotr W.

Abstract

The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was discussed. The practical aspects of the proposed solution were outlined.

Suggested Citation

  • Staszkiewicz, Piotr W., 2010. "Ryzyko struktury: Rys koncepcyjny [The Risk of the Structure: Initial proposal]," MPRA Paper 34257, University Library of Munich, Germany, revised 01 May 2011.
    • Handle: RePEc:pra:mprapa:34257
    as

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    File URL: https://mpra.ub.uni-muenchen.de/34257/1/MPRA_paper_34257.pdf
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    References listed on IDEAS

    as
    1. Frank Dierick & Fatima Pires & Martin Scheicher & Kai Gereon Spitzer, 2005. "The New Basel Capital Framework and its implementation in the European Union," Occasional Paper Series 42, European Central Bank.
    2. Thomas Cottier & Rosa M. Lastra, 2010. "The Quest for International Law in Financial Regulation and Monetaryaffairs," Journal of International Economic Law, Oxford University Press, vol. 13(3), pages 527-530, September.
    3. John H. Jackson, 2010. "The Quest for International Law in Financial Regulation and Monetary affairs," Journal of International Economic Law, Oxford University Press, vol. 13(3), pages 525-526, September.
    4. Damir Filipović & Michael Kupper, 2008. "Optimal Capital And Risk Transfers For Group Diversification," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 55-76, January.
    5. Dierick, Frank & Pires, Fatima & Scheicher, Martin & Spitzer, Kai Gereon, 2005. "The New Basel Capital Framework and its implementation in the European Union," Occasional Paper Series 42, European Central Bank.
    6. Hal S. Scott, 2010. "Reducing Systemic Risk Through the Reform of Capital Regulation," Journal of International Economic Law, Oxford University Press, vol. 13(3), pages 763-778, September.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Staszkiewicz, Piotr W., 2013. "Mechanizm wczesnego ostrzegania firm inwestycyjnych [Early warning mechanism of bankruptcy for investment companies]," MPRA Paper 44290, University Library of Munich, Germany.
    2. Staszkiewicz, Piotr W., 2011. "Multi entry framework for financial and risk reporting," MPRA Paper 34903, University Library of Munich, Germany.

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    More about this item

    Keywords

    Risk; Risk model; Basel; Accord; CRD; Capiatl groups; Economic capital; Capital alocation; Capital requirements; Subsidiaries; Strukture; VAR; CVAR; Related parties; Fair value; Parent entity; Measurement; Solvency; Transaction value;
    All these keywords.

    JEL classification:

    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • P34 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - Finance

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