Μέθοδοι ποσοτικοποίησης και αξιολόγησης κινδύνων για ασφαλιστικούς και χρηματοοικονομικούς οργανισμούς
Risk quantification and assessment methods for insurance and financial organizations
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Keywords
Μέθοδοι ποσοτικοποίησης κινδύνων ; Μέθοδοι αξιολόγησης κινδύνων ; Ασφαλιστικοί οργανισμοί ; Χρηματοοικονομικοί οργανισμοίAbstract
Risk management constitutes a fundamental pillar of modern financial and insurance practise, as organizations face complex and interdependent risks in a constantly unstable environment. The purpose of this thesis is the systematic analysis and comparison of risk quantification and assessment methods, both at a theoretical and practical level, taking into account the international regulatory frameworks of Basel II/III and Solvency II.
In this context, the thesis analyzes central quantification methods that hold a prominent position in international literature and practise, such as Value at Risk (VaR) as a point of measure of risk and Expected Shortfall (ES) as a more coherent measure of extreme event risks, the Loss Distribution Approach which combines frequency and severity models and is widely applied to operational risk, Extreme Value Theory which focuses on modeling rare and extreme events the Bayesian approach which incorporates prior knowledge and data into a coherent predictive framework, Copulas which capture complex dependencies between risks and Monte Carlo Simulation which enables the simulation of complex portfolios and the calculation of capital requirements. At the same time, assessment methods are presented such as Risk Control Drivers, Risk Maps, Key Risk Indicators (KRIs), Scenario Analysis with Stress Tests and the Risk and Control Self-Assessment (RCSA) method, with emphasis on their applications in financial and insurance organizations.
The results show that the combination of quantitative and qualitative techniques provides a more comprehensive depiction of risk, enhancing regulatory compliance and organizational resilience. Furthermore, the utilization of Big Data technologies and advanced analytical methods emerges as a future direction for more effective management of complex and systemic risks. Overall, the thesis contributes to the risk management literature by providing a coherent framework of theory, methodology and practical applications for modern risk management.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διαχείριση ΚινδύνωνDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
114Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα