eng Solvency Capital estimation and Risk Measures Ferri Vidal, Antoni Guillén, Montserrat Bermúdez, Lluís Xarxa de Referència en Economia Aplicada (XREAP) info:eu-repo/semantics/workingPaper Xarxa de Referència en Economia Aplicada (XREAP) 2012 Monte Carlo method Financial institutions Risk management Mètode de Montecarlo Institucions financeres Gestió del risc http://ddd.uab.cat/record/98112 oai:www.recercat.cat:2072/179582 oai:ddd.uab.cat:98112 L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by/3.0/es/ info:eu-repo/semantics/openAccess 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.