Backtesting an equity risk model under Solvency II
Year of publication: |
August 2018
|
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Authors: | Santomil, Pablo Durán ; González, Luís Otero ; Cunill, Onofre Martorell ; Lindahl, José M. Merigó |
Published in: |
Journal of business research : JBR. - New York, NY : Elsevier, ISSN 0148-2963, ZDB-ID 189773-1. - Vol. 89.2018, p. 216-222
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Subject: | Internal models | Solvency II | Backtesting | Validation | Equity risk | Value-at-risk | Risikomodell | Risk model | Risikomanagement | Risk management | Risikomaß | Risk measure | EU-Versicherungsrecht | European insurance law | Betriebliche Liquidität | Corporate liquidity | Basler Akkord | Basel Accord | Portfolio-Management | Portfolio selection | Theorie | Theory | Statistischer Test | Statistical test |
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