Abstract
This article presents the main risk measures suggested in the current regulations for finance (Basel 2) and insurance (Solvency 2) to fix the reserves, which are the Value-at-Risk (VaR), Tail-VaR, and the distortion risk measures (DRM). These measures can be used in a conditional or an unconditional framework. We explain how they can be estimated and give the distributional properties of the estimator. Finally, we interpret the selection of reserve levels as a control problem and explain how this interpretation can be used to check the methodologies proposed by banks or insurance companies to the regulators.
| Original language | English |
|---|---|
| Title of host publication | Encyclopedia of Quantitative Finance |
| Publisher | wiley |
| Pages | 1-11 |
| Number of pages | 11 |
| ISBN (Electronic) | 9780470061602 |
| ISBN (Print) | 9780470057568 |
| DOIs | |
| Publication status | Published - 1 Jan 2010 |
| Externally published | Yes |
Keywords
- Basel 2
- CVaR
- distortion risk measure
- estimation
- regulation
- risk measure
- tail-VaR
- Value-at-Risk