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 result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10224804" target="_blank" >RIV/61989100:27510/10:10224804 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
The analysis of the impact of input parameters on the capital requirements for market risk in the context of Solvency II and Basel II
Original language 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) wi
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Application of complex Lévy processes in modeling of financial assets prices</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Economics 2010
ISBN
978-80-7394-218-2
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
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Publisher name
University of South Bohemia
Place of publication
České Budějovice
Event location
Česke Budějovice
Event date
Sep 8, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000287979900089