Search Results - subject:"Capital requirement"

Operational risk framework and Standardised Measurement Approach (SMA)

Fabris, Paolo; Leoni, Alessandro; Marfella, Ilaria - In: Risk management magazine 18 (2023) 3, pp. 54-61

) that introduces the Standardised Measurement Approach (SMA) to define the Pillar I operational risk capital requirement … only introduces a new method to be used to calculate the operational risk capital requirement but details several updates … operational risk capital requirement and provides an overview of the expected impact on the different components of the ORMF of …

Persistent link: https://www.econbiz.de/10014492037

Green firms are less risky: Results from a preferential capital requirement programme in emerging Europe

Várgedő, Bálint; Burger, Csaba; Kim, Donát - 2025

This study evaluates the credit risk of sustainable loans in a preferential capital requirement programme. We utilise …

Persistent link: https://www.econbiz.de/10015433748

Copula-based risk aggregation and the significance of reinsurance

Dias, Alexandra; Ismail, Isaudin; Zhang, Aihua - In: Risks : open access journal 13 (2025) 3, pp. 1-23

obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for … over- or underestimation of the capital requirement of an insurance company. We also investigate the significance of …

Persistent link: https://www.econbiz.de/10015358934

Green firms are less risky : results from a preferential capital requirement programme in emerging Europe

Várgedő, Bálint; Burger, Csaba; Kim, Donát - 2025

This study evaluates the credit risk of sustainable loans in a preferential capital requirement programme. We utilise …

Persistent link: https://www.econbiz.de/10015329839

Impact of economic policy uncertainty on the firm's working capital requirements

Chang, Chong-Chuo; Chen, Hsien-Yi; Mon, Khin Thiri - In: Pacific-Basin finance journal 86 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015095143

Investment portfolio allocation and insurance solvency : new evidence from insurance groups in the era of solvency II

Poufinas, Thomas; Siopi, Evangelia - In: Risks : open access journal 12 (2024) 12, pp. 1-33

Capital Requirement ratio. An empirical sample of 88 EU-based insurance groups was analyzed to provide robust evidence of the … portfolio's impact on the Solvency Capital Requirement ratio from 2016 to 2022. Linear regression and supervised machine …

Persistent link: https://www.econbiz.de/10015327695

A first look back: model performance under Solvency II

Korn, Ralf; Stahl, Gerhard - In: European Actuarial Journal 14 (2023) 1, pp. 307-315

We consider an empirical backtesting for the Solvency Capital Required (SCR) under Solvency II. Based on empirical facts that the Basic own Funds (BoF) can be assumed to evolve log-normally and have a much lower volatility than the corresponding equity for our test data, we make a proposal based...

Persistent link: https://www.econbiz.de/10015271542

A first look back: model performance under Solvency II

Korn, Ralf; Stahl, Gerhard - In: European Actuarial Journal 14 (2023) 1, pp. 307-315

Persistent link: https://www.econbiz.de/10015406294

Minimum capital requirement and portfolio allocation for non-life insurance : a semiparametric model with Conditional Value-at-Risk (CVaR) constraint

Staino, Alessandro; Russo, Emilio; Costabile, Massimo; … - In: Computational management science 20 (2023) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10014228472

On risk management of mortality and longevity capital requirement : a predictive simulation approach

Yang, Shuai; Zhou, Kenneth Q. - In: Risks : open access journal 11 (2023) 12, pp. 1-18

they face. Nonetheless, devising and implementing risk mitigation solutions to risk managing capital requirement is …

Persistent link: https://www.econbiz.de/10014446489