000098112 001 __ 98112
000098112 005 __20141007063538.0
000098112 024 8_ $9 primocentral $9 driver $a oai:ddd.uab.cat:98112
000098112 035 __ $a oai:www.recercat.cat:2072/179582
000098112 041 __ $a eng
000098112 080 __ $a 33
000098112 080 __ $a 336
000098112 100 1_ $a Ferri Vidal, Antoni
000098112 245 10 $a Solvency Capital estimation and Risk Measures
000098112 260 __ $b Xarxa de Referència en Economia Aplicada (XREAP) $c 2012
000098112 300 __ $a 26 p.
000098112 520 __ $a 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.
000098112 540 __ $9 info:eu-repo/semantics/openAccess $a L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: $u http://creativecommons.org/licenses/by/3.0/es/
000098112 546 __ $a Anglès.
000098112 650 _4 $a Monte Carlo method
000098112 650 _4 $a Financial institutions
000098112 650 _4 $a Risk management
000098112 653 __ $a Mètode de Montecarlo
000098112 653 __ $a Institucions financeres
000098112 653 __ $a Gestió del risc
000098112 655 _4 $a info:eu-repo/semantics/workingPaper
000098112 700 1_ $a Guillén, Montserrat
000098112 700 1_ $a Bermúdez, Lluís
000098112 710 1_ $a Xarxa de Referència en Economia Aplicada (XREAP)
000098112 762 18 $w hdl_2072_13171
000098112 830 __ $a XREAP2012-02 ; $v 
000098112 856 40 $p 26 $s 278389 $u http://ddd.uab.cat/pub/estudis/2012/hdl_2072_179582/XREAP2012-02.pdf
000098112 856 42 $3 Adreça alternativa $u http://hdl.handle.net/2072/179582
000098112 980 __ $a ESTUDIS $b UAB