About: The analysis of the impact of input parameters on the capital requirements for market risk in the context of Solvency II and Basel II

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About: The analysis of the impact of input parameters on the capital requirements for market risk in the context of Solvency II and Basel II Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The risk management is a crucial activity of financial institutions. For insurance companies, the new concept of legal form of supervision will be implemented in 2012. According to this directive, the insurance companies will have to take into account all risk that can be exposed to. The new elements of this directive are market risk, operational risk and credit risk.In this paper we focus on the determination of the capital charges for market risk for given portfolio according to Solvency II (SCR - time horizon one year, confidence level 99.5 %) and Basel II (time horizon ten days, confidence level 99 %) with the help of Value at Risk me-thodology and Conditional Value at Risk approach. We will model the probability distribution of returns on the basis of Gaussian distribution, Student distribution and Levy process ? make possible to model higher moments. the sensitivity of capital charges to the input variables (that are moments - skewness, kurtosis, parametr - degrees of freedom) will be assessed. The risk management is a crucial activity of financial institutions. For insurance companies, the new concept of legal form of supervision will be implemented in 2012. According to this directive, the insurance companies will have to take into account all risk that can be exposed to. The new elements of this directive are market risk, operational risk and credit risk.In this paper we focus on the determination of the capital charges for market risk for given portfolio according to Solvency II (SCR - time horizon one year, confidence level 99.5 %) and Basel II (time horizon ten days, confidence level 99 %) with the help of Value at Risk me-thodology and Conditional Value at Risk approach. We will model the probability distribution of returns on the basis of Gaussian distribution, Student distribution and Levy process ? make possible to model higher moments. the sensitivity of capital charges to the input variables (that are moments - skewness, kurtosis, parametr - degrees of freedom) will be assessed. (en)
Title	The analysis of the impact of input parameters on the capital requirements for market risk in the context of Solvency II and Basel II The analysis of the impact of input parameters on the capital requirements for market risk in the context of Solvency II and Basel II (en)
skos:prefLabel	The analysis of the impact of input parameters on the capital requirements for market risk in the context of Solvency II and Basel II The analysis of the impact of input parameters on the capital requirements for market risk in the context of Solvency II and Basel II (en)
skos:notation	RIV/61989100:27510/10:10224804!RIV11-GA0-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(GA402/08/1237), S
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Petrová, Ingrid
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	246493
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10224804
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Market risk, Solvency II, Basel II, Value at Risk, Conditional Value at Risk, Cost of capital (en)
http://linked.open.../riv/klicoveSlovo	Conditional Value at Risk Value at Risk Market risk Solvency II Basel II Cost of capital
http://linked.open...ontrolniKodProRIV	[76380C802B9C]
http://linked.open...v/mistoKonaniAkce	Česke Budějovice
http://linked.open...i/riv/mistoVydani	České Budějovice
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2010
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Application of complex Lévy processes in modeling of financial assets prices
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Petrová, Ingrid
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000287979900089
http://linked.open.../riv/zahajeniAkce	2010-09-08 (xsd:date)
number of pages	7 (xsd:int)
http://purl.org/ne...btex#hasPublisher	University of South Bohemia
https://schema.org/isbn	978-80-7394-218-2
http://localhost/t...ganizacniJednotka	27510

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