Modelling financial risks for Egyptian insurance market : evidence from insurance investment channels
Author
Source
[Journal of Financial and Commercial Research]
Issue
Vol. 22, Issue 1، ج. 1 (31 Jan. 2021), pp.77-100, 24 p.
Publisher
Port Said University Faculty of Commerce
Publication Date
2021-01-31
Country of Publication
Egypt
No. of Pages
24
Main Subjects
Topics
Abstract EN
Recently, there has been renewed interest in modelling risks especially in insurance market, there has been substantial research undertaken on the importance of copula in financial risk management field.
This study aim to estimate risk measures Value-at-Risk (VaR) and Expected Shortfall (ES) based on the dependence structure between investment channels (Government bonds, Securities available for trade, Securities available for sale and Securities held to maturity) by using elliptical Gaussian copula on data collected from Egyptian insurance market from 2007/2008 to 2018/2019.
The principal finding of this research is to measure the financial risk according to the copula estimation.
The findings of this paper illustrate that the copula parameter ρ is simmilar to the parameter in the whole market, that is because the life insurance sector has long term conrtacts while the nonlife sector has short term contracts.
Moreover, VaR and CVaR in all sectors are equevlint that reflects the stability in insurance sector.
American Psychological Association (APA)
al-Sayyid, Mahmud. 2021. Modelling financial risks for Egyptian insurance market : evidence from insurance investment channels. [Journal of Financial and Commercial Research]،Vol. 22, no. 1، ج. 1, pp.77-100.
https://search.emarefa.net/detail/BIM-1095696
Modern Language Association (MLA)
al-Sayyid, Mahmud. Modelling financial risks for Egyptian insurance market : evidence from insurance investment channels. [Journal of Financial and Commercial Research] Vol. 22, no. 1, ج. 1 (Jan. 2021), pp.77-100.
https://search.emarefa.net/detail/BIM-1095696
American Medical Association (AMA)
al-Sayyid, Mahmud. Modelling financial risks for Egyptian insurance market : evidence from insurance investment channels. [Journal of Financial and Commercial Research]. 2021. Vol. 22, no. 1، ج. 1, pp.77-100.
https://search.emarefa.net/detail/BIM-1095696
Data Type
Journal Articles
Language
English
Notes
-
Record ID
BIM-1095696