Transcription of Economic Capital versus Regulatory capital for market risk ...
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Economic Capital versus Regulatory capital for market risk ...
Economic Capital versus Regulatory Capital for market risk in banking and insurance sectors: Basel II experience and the challenge for Solvnecy II Marcin FEDOR Universit Paris Dauphine ABSTRACT This paper discusses market risk measurement for Regulatory Capital requirement purposes in the insurance sector. We present different aspects of market risk in the banking and insurance sectors and we discuss current Capital regulations for market risk in both financial services. Today, Regulatory approaches for setting Capital charges for market risk seem to be converging across financial sectors to the Economic Capital approach. In this context, the Value at Risk (VaR) has become the standard measure to quantify market risk.
Economic Capital versus Regulatory capital for market risk in banking and insurance sectors: Basel II experience and the challenge for Solvnecy II
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