Centro de Documentacion de Fundación MAPFRE - Quantifying credit and market risk under Solvency II : standard approach versus internal model

MAP20120054110

Quantifying credit and market risk under Solvency II : standard approach versus internal model / Nadine Gatzert, Michael Martin

Sumario: Even though insurers predominantly invest in bonds, credit risk associated with government and corporate bonds has long not been a focus in their risk management. After the crisis of several European countries, however, credit risk has recently been paid greater attention. Nevertheless, the la test version of the Solvency II standard model (QIS 5), provided by regulators for deriving solvency capital requirements, still does not require capital for credit risk inherent in, e.g., EEA issued government bonds from Greece or Spain. This paper aims to provide an alternative approach and compares the standard model with a partial internal risk model using a rating-based credit risk model that accounts for credit, equity, and interest rate risk inherent in a portfolio of stocks and bonds. The findings demonstrate that solvency capital requirements strongly depend on the quality and composition of an insurer's asset portfolio and that model risk in regard to model choice and calibration plays an important role in the quantification

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 05/11/2012 Volumen 51 Número 3 - noviembre 2012 , p. 649-666

1. Solvencia II . 2. Riesgo crediticio . 3. Modelos actuariales . 4. Mercados financieros . 5. Riesgo financiero . 6. Requerimientos financieros . 7. Cuantificación del riesgo . I. Martin, Michael . II. Title.