Basis Risk, Procylicality, and Systemic Risk in the Solvency II Equity Risk Module
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- French, Andrea & Vital, Mathieu & Minot, Dean, 2015. "Insurance and financial stability," Bank of England Quarterly Bulletin, Bank of England, vol. 55(3), pages 242-258.
- Pierre-Charles Pradier & Arnaud Chneiweiss, 2016.
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- Pierre-Charles Pradier & Arnaud Chneiweiss, 2017. "The Evolution of Insurance Regulation in the EU Since 2005," Post-Print hal-03265038, HAL.
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- Pierre-Charles Pradier & Arnaud Chneiweiss, 2016. "The evolution of insurance regulation in the EU since 2005," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01390899, HAL.
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The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 41(4), pages 529-554, October.
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More about this item
Keywords
Solvency II; procyclicality; systemic risk; CoVaR; MES.;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2013-08-31 (Banking)
- NEP-CBA-2013-08-31 (Central Banking)
- NEP-RMG-2013-08-31 (Risk Management)
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