The Calculation of Solvency Capital Requirement using Copulas - Githubissues

kwoongbae / risk-management-papers

studying risk and regulation (risk management, solvency II)

1 stars 0 forks source link

The Calculation of Solvency Capital Requirement using Copulas #20

Closed kwoongbae closed 6 months ago

kwoongbae commented 7 months ago

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3382556
Pellecchia, M., & Perciaccante, G. (2019).
Citation: 2

kwoongbae commented 7 months ago

Introduction

Solvency Captial Requirement란 무엇인가?

금융사가 시장에서 운영될 때 반드시 가지고 있어야 하는 자본의 수준
VaR을 기반으로 계산됨.