Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets (Q2219623)
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scientific article; zbMATH DE number 7299072
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| English | Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets |
scientific article; zbMATH DE number 7299072 |
Statements
Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets (English)
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20 January 2021
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insurance
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internal models
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credit risk
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market risk
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standard models
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Solvency II
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GJR-EVT-copula
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spread risk
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equity risk
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bond risk
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risk management
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0.8223375678062439
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0.7386022806167603
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0.7371907830238342
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0.726359486579895
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