Quantitative Market Risk Assessment for Insurance Companies
The business strategy, the underwriting policy, the investment strategy of insurance companies and some external factors influence their ability to meet liabilities. The risk management mechanism, based on regulatory requirements and the best expertise, should allow to identify and assess all signif...
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| Format: | Article |
| Language: | Russian |
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Government of the Russian Federation, Financial University
2022-09-01
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| Series: | Финансы: теория и практика |
| Subjects: | |
| Online Access: | https://financetp.fa.ru/jour/article/view/1730 |
| _version_ | 1797878663252803584 |
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| author | E. V. Aldukhova |
| author_facet | E. V. Aldukhova |
| author_sort | E. V. Aldukhova |
| collection | DOAJ |
| description | The business strategy, the underwriting policy, the investment strategy of insurance companies and some external factors influence their ability to meet liabilities. The risk management mechanism, based on regulatory requirements and the best expertise, should allow to identify and assess all significant risks, including the market risk. The purpose of this research is comparing the European and Russian regulatory requirements for capital calculation for market risks of insurance companies. The methodological base is the comparison analysis of different capital calculation approaches for interest rate, FX, real estate and equity risks in accordance with Solvency II for the European insurers or Regulation 710-P for the Russian insurers. As a result, the author has found the compatibility of regulations to vary depending on the type of the risk in question. Regulations diverge the least when it comes to FX and real estate risks, yet the most in regards to interest rate and equity risks since the Central Bank of Russia has accounted for some national market peculiarities. Overall, the research results have a practical value and could be used by the Russian insurers in transition to the riskoriented regulation. |
| first_indexed | 2024-04-10T02:36:51Z |
| format | Article |
| id | doaj.art-55904270e5eb4add9f1ca5f0849f0557 |
| institution | Directory Open Access Journal |
| issn | 2587-5671 2587-7089 |
| language | Russian |
| last_indexed | 2024-04-10T02:36:51Z |
| publishDate | 2022-09-01 |
| publisher | Government of the Russian Federation, Financial University |
| record_format | Article |
| series | Финансы: теория и практика |
| spelling | doaj.art-55904270e5eb4add9f1ca5f0849f05572023-03-13T07:49:31ZrusGovernment of the Russian Federation, Financial UniversityФинансы: теория и практика2587-56712587-70892022-09-0126410912310.26794/2587-5671-2022-26-4-109-123953Quantitative Market Risk Assessment for Insurance CompaniesE. V. Aldukhova0МГИМО (Университет) МИД РоссииThe business strategy, the underwriting policy, the investment strategy of insurance companies and some external factors influence their ability to meet liabilities. The risk management mechanism, based on regulatory requirements and the best expertise, should allow to identify and assess all significant risks, including the market risk. The purpose of this research is comparing the European and Russian regulatory requirements for capital calculation for market risks of insurance companies. The methodological base is the comparison analysis of different capital calculation approaches for interest rate, FX, real estate and equity risks in accordance with Solvency II for the European insurers or Regulation 710-P for the Russian insurers. As a result, the author has found the compatibility of regulations to vary depending on the type of the risk in question. Regulations diverge the least when it comes to FX and real estate risks, yet the most in regards to interest rate and equity risks since the Central Bank of Russia has accounted for some national market peculiarities. Overall, the research results have a practical value and could be used by the Russian insurers in transition to the riskoriented regulation.https://financetp.fa.ru/jour/article/view/1730рыночный рискриск-ориентированное регулированиеsolvency iiкапитал под рискоткрытая валютная позиция |
| spellingShingle | E. V. Aldukhova Quantitative Market Risk Assessment for Insurance Companies Финансы: теория и практика рыночный риск риск-ориентированное регулирование solvency ii капитал под риск открытая валютная позиция |
| title | Quantitative Market Risk Assessment for Insurance Companies |
| title_full | Quantitative Market Risk Assessment for Insurance Companies |
| title_fullStr | Quantitative Market Risk Assessment for Insurance Companies |
| title_full_unstemmed | Quantitative Market Risk Assessment for Insurance Companies |
| title_short | Quantitative Market Risk Assessment for Insurance Companies |
| title_sort | quantitative market risk assessment for insurance companies |
| topic | рыночный риск риск-ориентированное регулирование solvency ii капитал под риск открытая валютная позиция |
| url | https://financetp.fa.ru/jour/article/view/1730 |
| work_keys_str_mv | AT evaldukhova quantitativemarketriskassessmentforinsurancecompanies |