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Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090844" target="_blank" >RIV/61989100:27510/14:86090844 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements

  • Original language description

    With the development of economy and European market it comes to an integration and harmonization in the area of financial markets, and at the same time the emphasis is put on credibility, transparency and stability of financial institutions. Risk management and solvency play a key role in the financial institutions and their functions. To ensure the solvency of financial institutions, and therefore the ability to meet their obligations at any time, the institutions must hold a certain amount of capitalfor risk coverage. Capital requirements are regulated by legislative framework and the main method for their determination is the Value at Risk. The Monte Carlo simulation is flexible and valuable tool for estimating Value at Risk. There are a few methods which improving estimation which is acquired by basic procedure for Monte Carlo simulation. The aim of paper is determination of capital requirements for currency risk in insurance and bank sector by various methods of Monte Carlo Simul

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AE - Management, administration and clerical work

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GA13-13142S" target="_blank" >GA13-13142S: Verification of suitability of particular Lévy models for selected issues of financial modeling</a><br>

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2014

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Proceedings of the 14th International Conference on Finance and Banking : 16-17 October 2013, Ostrava, Czech Republic

  • ISBN

    978-80-7248-939-8

  • ISSN

  • e-ISSN

  • Number of pages

    9

  • Pages from-to

    252-260

  • Publisher name

    Silesian University, School of Business Administration

  • Place of publication

    Karviná

  • Event location

    Ostrava

  • Event date

    Oct 16, 2013

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000345575000029