98112 driver oai:ddd.uab.cat:98112 hdl_2072_13171 oai:www.recercat.cat:2072/179582 eng 33 336 Ferri Vidal, Antoni Solvency Capital estimation and Risk Measures Xarxa de Referència en Economia Aplicada (XREAP) 2012 26 p. 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. info:eu-repo/semantics/openAccess 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/ Monte Carlo method Financial institutions Risk management Mètode de Montecarlo Institucions financeres Gestió del risc info:eu-repo/semantics/workingPaper Guillén, Montserrat Bermúdez, Lluís Xarxa de Referència en Economia Aplicada (XREAP) XREAP2012-02 ; 26 278389 http://ddd.uab.cat/pub/estudis/2012/hdl_2072_179582/XREAP2012-02.pdf Adreça alternativa http://hdl.handle.net/2072/179582 ESTUDIS UAB file 0 MD5 6e71f0235984b3ec46f89da7c286dafd 278389 bytestream 1.6 filepath pub/estudis/2012/hdl_2072_179582/XREAP2012-02.pdf disk