Risk Measures and Capital Requirements: A Critique of the Solvency II Approach

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

7 Citazioni (Scopus)

Abstract

In this paper the Solvency II VaR-based capital requirement is analysed and discussed. The new European risk-based system of prudential regulation for insurers could in fact increase, and not decrease, the fragility of the insurance industry. More specifically, the VaR capital requirement exposes insurance companies to a potentially huge systemic effect, as the bigger/better diversified insurers have high default probabilities in case of market shortfalls. This paper shall suggest and discuss some adjustments to the current Solvency II framework.
Lingua originaleEnglish
pagine (da-a)189-212
Numero di pagine24
RivistaGENEVA PAPERS ON RISK AND INSURANCE-ISSUES AND PRACTICE
Volume38
DOI
Stato di pubblicazionePubblicato - 2013

Keywords

  • Capital requirements
  • Insurance companies
  • Risk measurement
  • Solvency
  • Value at risk

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