کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7424873 | 1482832 | 2018 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Backtesting an equity risk model under Solvency II
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
Backtesting is a technique for validating internal models under Solvency II, which allows for evaluating the discrepancies between the results provided by a model and real observations. This paper aims to establish various backtesting tests and to show their applications to equity risk in Solvency II. Normal and empirical models with a rolling window are used to determine VaR at the 99.5% confidence level over a one-year time horizon. The proposed methodology performs the backtesting of annualized returns arising from the accumulation of daily returns. The results show that even if a model is conservative when tested out of a sample, it may be inadequate when evaluated in a sample, thereby highlighting the problems inherent in the out-of-sample backtesting proposed by the regulator.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Business Research - Volume 89, August 2018, Pages 216-222
Journal: Journal of Business Research - Volume 89, August 2018, Pages 216-222
نویسندگان
Pablo Durán Santomil, LuÃs Otero González, Onofre Martorell Cunill, José M. Merigó Lindahl,