Optimal allocation of model risk appetite and validation threshold in the Solvency II framework
Liyi Lin, Marc Heemskerk and Peter Dekker
| Year of publication: |
2018
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|---|---|
| Authors: | Lin, Liyi ; Heemskerk, Marc ; Dekker, Peter |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 12.2018, 3, p. 29-49
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| Subject: | Solvency II | model risk management | model risk appetite (MRA) | model validation | validation threshold (VT) | Risikomanagement | Risk management | Theorie | Theory | Risikomodell | Risk model | Portfolio-Management | Portfolio selection | Bankrisiko | Bank risk | EU-Versicherungsrecht | European insurance law |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2018.193 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011991966