The Development of a simple and intuitive rating system under Solvency II
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20100055502 | ||
| 003 | MAP | ||
| 005 | 20100714133242.0 | ||
| 008 | 100623e20100601esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a22 | ||
| 100 | $0MAPA20100042083$aVan Laere, Elisabeth | ||
| 245 | 1 | 4 | $aThe Development of a simple and intuitive rating system under Solvency II$cElisabeth Van Laere, Bart Baesens |
| 520 | $aRegulatory authorities pay considerable attention to setting minimum capital levels for different kinds of financial institutions. Solvency II, the European Commission's planned reform of the regulation of insurance companies is well underway. One of its consequences will be a shift in focus to internally based models in determining the regulatory capital needed to cover unexpected losses. This evolution emphasises the importance of credit risk assessment through internal ratings. In light of this new prudential regulation, this paper suggests a Basel II compliant approach to predicting credit ratings for non-rated corporations and evaluates its performance compared to external ratings. The paper provides an interesting modelling of non-financial European companies rated by S&P. In developing the model, broad applicability is set as an important boundary condition. Even though the model developed is fairly simple and maintains a high level of granularity, it gives high rates of accuracy and is very interpretable | ||
| 650 | 1 | $0MAPA20080564254$aSolvencia II | |
| 650 | 1 | $0MAPA20080584351$aControl de seguros | |
| 650 | 1 | $0MAPA20080590567$aEmpresas de seguros | |
| 700 | 1 | $0MAPA20100044100$aBaesens, Bart | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$gTomo 46 Número 3 - June 2010, p. 500-510 |