Regensburg 2013 – scientific programme

Parts | Days | Selection | Search | Updates | Downloads | Help

SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 25: Poster session

SOE 25.2: Poster

Thursday, March 14, 2013, 17:15–19:00, Poster C

The Calibration of the Extreme Value Equity Risk in the Solvency II Standard Model: An empirical Analysis — •Magda Schiegl — University of Applied Sciences, Landshut, Germany

The EU - project "Solvency II" aims to rule the regulatory capital requirements of all European insurance companies. A so called "Standard Model" has been developed that should calculate the individual, risk adequate capital every company should hold in order to survive a one in two hundred year event. In addition to the model the EU published the calibration methods as well as the calibrated values for the Standard Model's parameters. We focus in our work on the extreme value calibration of the equity risk. This part of the risk model aims to quantify the risk of equity-portfolio losses for insurance companies in the case of extreme market events. We compare the results of the EU calibration paper with empirical market data analysis and discuss the consequences.