THE IMPACT OF INPUT PARAMETERS ON THE CAPITAL REQUIREMENTS FOR EQUITY PORTFOLIO IN INSURANCE

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099809" target="_blank" >RIV/61989100:27510/16:86099809 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.fhi.sk/files/katedry/kove/ssov/VKOXVIII/Zbornik2016.pdf" target="_blank" >http://www.fhi.sk/files/katedry/kove/ssov/VKOXVIII/Zbornik2016.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

THE IMPACT OF INPUT PARAMETERS ON THE CAPITAL REQUIREMENTS FOR EQUITY PORTFOLIO IN INSURANCE

Popis výsledku v původním jazyce

Insurance sector represents one of the most complex sectors of financial services which aim is to eliminate negative impact of unpredictable events. The capital adequacy presents a very significant tool of regulation in the functioning of financial institutions and the important role of management is to determine the optimal amount of regulatory capital. In the current years, the financial market development led to the increased regulations and to stricter requirements on capital in all the financial institutions. New regulatory directive named Solvency II, which should regulate insurance sector at the level of the European Union, should be fully implemented in the year 2016. It should change the current approach in the risk management, capital adequacy and transparency in the insurance sector. Main aim of this paper is to estimate capital requirements for equity portfolio, denominated in various currencies according to Solvency II by using Value at Risk and Expected Shortfall. And then is to analyse impact of input parameters on capital requirements.

Název v anglickém jazyce

THE IMPACT OF INPUT PARAMETERS ON THE CAPITAL REQUIREMENTS FOR EQUITY PORTFOLIO IN INSURANCE

Popis výsledku anglicky

Insurance sector represents one of the most complex sectors of financial services which aim is to eliminate negative impact of unpredictable events. The capital adequacy presents a very significant tool of regulation in the functioning of financial institutions and the important role of management is to determine the optimal amount of regulatory capital. In the current years, the financial market development led to the increased regulations and to stricter requirements on capital in all the financial institutions. New regulatory directive named Solvency II, which should regulate insurance sector at the level of the European Union, should be fully implemented in the year 2016. It should change the current approach in the risk management, capital adequacy and transparency in the insurance sector. Main aim of this paper is to estimate capital requirements for equity portfolio, denominated in various currencies according to Solvency II by using Value at Risk and Expected Shortfall. And then is to analyse impact of input parameters on capital requirements.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

Quantitative Methods in Economics : Multiple Criteria Decision Making XVIII : proceedings of the international scientific conference : 25th May-27th May 2016, Vrátna, Slovakia

ISBN

978-80-972328-0-1

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

241-246

Název nakladatele

Letra Interactive

Místo vydání

Bratislava

Místo konání akce

Vrátna

Datum konání akce

25. 5. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000394099300038