Equity solvency capital requirements - what institutional regulation can learn from private investor regulation

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20180029332</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20181023172648.0</controlfield>
    <controlfield tag="008">181017e20181001esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">212</subfield>
    </datafield>
    <datafield tag="245" ind1="0" ind2="0">
      <subfield code="a">Equity solvency capital requirements - what institutional regulation can learn from private investor regulation</subfield>
      <subfield code="c">Laurens Swinkels...[et,al]</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">Solvency II has one standard equity solvency capital requirement for type 1 or developed market stocks (39 per cent) and one for type 2 or emerging market stocks (49 per cent). As such, differences in financial economic risk of stock portfolios within developed or emerging markets do not influence solvency requirements. This encourages risk-seeking behaviour by insurance companies, and could sustain or even create structural mispricing in the cross-section of stock returns. We argue to improve Solvency ll regulation by aligning it with more sophisticated European regulation that is already in place for mutual funds . Specifically, we propose to multiply the standard solvency charge of 39 per cent with the ratio of equity portfolio volatility to broad equity market volatility. This ratio will be above one for more risky portfolios and below one for less risky portfolios, meaning that high-risk stock portfolios require more solvency capital than the market, while low-risk stock portfolios require less. Our approach encompasses the existing distinction between emerging and developed markets, and reduces geography to just one of many potential sources of risk that should be recognised. The proposed approach gives better incentives to institutional investors, contributes to market efficiency, and is much less prone to regulatory arbitrage than the existing approach. </subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080586294</subfield>
      <subfield code="a">Mercado de seguros</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20100019443</subfield>
      <subfield code="a">Requerimientos financieros</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080564254</subfield>
      <subfield code="a">Solvencia II</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080608804</subfield>
      <subfield code="a">Supervisión de seguros</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080597269</subfield>
      <subfield code="a">Inversiones privadas</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20180013775</subfield>
      <subfield code="a">Swinkels, Laurens</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077100215</subfield>
      <subfield code="t">Geneva papers on risk and insurance : issues and practice</subfield>
      <subfield code="d">Geneva : The Geneva Association, 1976-</subfield>
      <subfield code="x">1018-5895</subfield>
      <subfield code="g">01/10/2018 Volumen 43 Número 4 - octubre 2018 , p. 633-652</subfield>
    </datafield>
    <datafield tag="856" ind1=" " ind2=" ">
      <subfield code="y">MÁS INFORMACIÓN</subfield>
      <subfield code="u">mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A</subfield>
    </datafield>
  </record>
</collection>