EconPapers    
Economics at your fingertips  
 

An effective equity model allowing long term investments within the framework of Solvency II

Mohamed Majri () and François-Xavier de Lauzon
Additional contact information
Mohamed Majri: SMABTP - SMABTP
François-Xavier de Lauzon: SMABTP - SMABTP

Working Papers from HAL

Abstract: We propose an effective equity model adapted for medium term and long term risk assessment. One of its specific aspects is to allow an asymetrical dampening of the equity risk (called the dampener effect) conditional to the cyclical level of equity prices and to enable accurate Value At Risk assessements for medium and long term horizons (1 year and beyond). For a set of selected equity indexes we compare its relevancy for the 1-year 99.5% Value At Risk (VaR) assessment with the different releases of the Solvency II dampener equity models. In a second step we test its relevancy for VaR assessments beyond a 1 year investment horizon. We show in our analysis that this alternative model gives quite good results and outperforms widely the others tested. It appears particularly suitable for insurance companies and pension funds given their medium or long term asset management process.

Keywords: Value-At-Risk; Long term Equity Risk Assessment; Solvency II; Dampener; Standard Formula; Back Testing (search for similar items in EconPapers)
Date: 2013-05-15
New Economics Papers: this item is included in nep-ban and nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-00847887
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://hal.science/hal-00847887/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00847887

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2023-09-12
Handle: RePEc:hal:wpaper:hal-00847887