Quantifying credit and market risk under Solvency II: Standard approach versus internal model

Author:

Gatzert Nadine,Martin Michael

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference49 articles.

1. Coherent measures of risk;Artzner;Mathematical Finance,1999

2. Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin), 2011. Ergebnisse der Fünften Quantitativen Auswirkungsstudie zu Solvency II (QIS 5), Bonn, available at http://www.bafin.de (access (10.12.2011).

3. Ratings migration and the business cycle, with application to credit portfolio stress testing;Bangia;Journal of Banking & Finance,2002

4. Bank of International Settlements (BIS), 2006. International Convergence of Capital Measurement and Capital Standards - A Revised Framework - Comprehensive Version, Basel, available at http://www.bis.org (access 10.12.2011).

5. Arbitrage Theory in Continuous Finance;Björk,2009

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