THE IMPACT OF SOLVENCY II ON RISK CALIBRATION

Laura Elly Naghi, Petre Brezeanu () and Eliza Dumitrescu
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Laura Elly Naghi: Bucharest Academy of Economic Studies
Eliza Dumitrescu: Bucharest Academy of Economic Studies
Authors registered in the RePEc Author Service: Laura Elly Novac

Theoretical and Applied Economics, 2011, vol. 5(558)(supplement), issue 5(558)(supplement), 196-200

Abstract: Many companies have invested in building internal models to cover their balance sheet risks over the past few years, sometimes driven by regulatory requirements, and sometimes driven by management or rating. The Solvency II framework introduces the oneyear risk framework which might affect the model architecture or the calibration process on these existing models.

Keywords: solvency; SCR; one-year risk; calibration; modeling. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:5(558)(supplement):y:2011:i:5(558)(supplement):p:196-200

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