文章基本信息

标题：THE IMPACT OF SOLVENCY II ON RISK CALIBRATION
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作者：Naghi, Laura Elly ; Brezeanu, Petre ; Dumitrescu, Eliza 等
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2011
卷号：5(558)(supplement)
期号：5(558)(supplement)
页码：196-200
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：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.
关键词：solvency; SCR; one-year risk; calibration; modeling.