Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

<a href="/cs/project/GA13-13142S" target="_blank" >GA13-13142S: Ověření vhodnosti jednotlivých Lévyho modelů pro vybrané úlohy finanční modelování</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

ISBN

978-80-7248-939-8

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

252-260

Název nakladatele

Silesian University, School of Business Administration

Místo vydání

Karviná

Místo konání akce

Ostrava

Datum konání akce

16. 10. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000345575000029