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The Impact Of Solvency Ii On Risk Calibration

Author

Listed:
  • Laura Elly Naghi

    (Bucharest Academy of Economic Studies)

  • Petre Brezeanu

    (Bucharest Academy of Economic Studies)

  • Eliza Dumitrescu

    (Bucharest Academy of Economic Studies)

Abstract

Many companies have invested in building internal models to cover their balance sheet risks over the past few years, sometimes driven by regulatory requirements, and sometimes driven by management or rating. The Solvency II framework introduces the oneyear risk framework which might affect the model architecture or the calibration process on these existing models.

Suggested Citation

  • Laura Elly Naghi & Petre Brezeanu & Eliza Dumitrescu, 2011. "The Impact Of Solvency Ii On Risk Calibration," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 5(5(558)(su), pages 196-200, July.
    • Handle: RePEc:agr:journl:v:5(558)(supplement):y:2011:i:5(558)(supplement):p:196-200
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