To cite this record: http://ddd.uab.cat/record/98112
Solvency Capital estimation and Risk Measures
Ferri Vidal, Antoni
Guillén, Montserrat
Bermúdez, Lluís
Xarxa de Referència en Economia Aplicada (XREAP)

Imprint: Xarxa de Referència en Economia Aplicada (XREAP) 2012
Description: 26 p.
Series: XREAP2012-02 ;
Abstract: This paper examines why a financial entity’s solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper stresses, therefore, the relationship between dependence structures and capital estimation.
Rights: L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: Creative Commons
Language: Anglès.
Document: workingPaper
Subject: Monte Carlo method ; Financial institutions ; Risk management ; Mètode de Montecarlo ; Institucions financeres ; Gestió del risc

Adreça alternativa: http://hdl.handle.net/2072/179582


26 p, 271.9 KB

The record appears in these collections:
Research literature > Studies

 Record created 2012-08-31, last modified 2014-05-29



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