Journal of the Korean Data and Information Science Society
- Volume 19 Issue 4
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- Pages.1027-1036
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- 2008
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- 1598-9402(pISSN)
Estimating the Credit Value-at-Risk of Korean Property and Casuality Insurers
Abstract
Value at Risk(VaR) is a fundamental tool for managing market risks. It measures the worst loss to be expected of a portfolio over a given time horizon under normal market conditions at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, we introduced and applied the CreditMetrics model to estimate the credit VaR of Korean Property and Casuality insurers.