Improvement of operational risk measurement under the Solvency II framework
نویسندگان
چکیده
منابع مشابه
Solvency II
The insurance industry needs to be regulated to protect policyholders. This is the main objective of the Solvency II directive – the new insurance regulations for the European Economic Area. In short, it requires insurance companies to act responsibly with the money they have been entrusted with. It is estimated that implementing Solvency II will cost 2-3 billion Euro. It has the potential to c...
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This research project analyses the Solvency Capital Requirement (SCR) calculation models applicable to Trade Credit Insurance Underwriting Risk. The current regulation, the Solvency II Directive (25/11/2009), is not restrictive in this regard and allows each insurer to use the model of SCR calculation which best suits its purpose, with the condition that it obtains authorization from the local ...
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This paper investigates the robustness of the Solvency Capital Requirement (SCR) when a log-normal reference model is slightly disturbed by the heaviness of its tail distribution. It is shown that situations with “almost” lognormal data and a rather important variation between the “disturbed” SCR and the reference SCR can be built. The consequences of the estimation errors on the level of the S...
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Under Solvency II the computation of capital requirements is based on value at risk (V@R). V@R is a quantile-based risk measure and neglects extreme risks in the tail. V@R belongs to the family of distortion risk measures. A serious deficiency of V@R is that firms can hide their total downside risk in corporate groups. They can largely reduce their total capital requirements via appropriate tra...
متن کاملPractices and Issues in Operational Risk Modeling under Basel Ii
We provide an introduction and overview to operational risk modeling according to the Basel II legal documents and summarize observed practices and issues as well as suggested approaches for measuring and quantifying operational risk.
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ژورنال
عنوان ژورنال: Risk Governance and Control: Financial Markets and Institutions
سال: 2015
ISSN: 2077-4303,2077-429X
DOI: 10.22495/rgcv5i2c1art7