英文标题：
《Solvency II, or How to Sweep the Downside Risk Under the Carpet》
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作者：
Stefan Weber
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最新提交年份：
2017
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英文摘要：
  Under Solvency II the computation of capital requirements is based on value at risk (V@R). V@R is a quantile-based risk measure and neglects extreme risks in the tail. V@R belongs to the family of distortion risk measures. A serious deficiency of V@R is that firms can hide their total downside risk in corporate networks, unless a consolidated solvency balance sheet is required for each economic scenario. In this case, they can largely reduce their total capital requirements via appropriate transfer agreements within a network structure consisting of sufficiently many entities and thereby circumvent capital regulation. We prove several versions of such a result for general distortion risk measures of V@R-type, explicitly construct suitable allocations of the network portfolio, and finally demonstrate how these findings can be extended beyond distortion risk measures. We also discuss why consolidation requirements cannot completely eliminate this problem. Capital regulation should thus be based on coherent or convex risk measures like average value at risk or expectiles.
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中文摘要：
根据Solvency II，资本要求的计算基于风险价值(V@R)。V@R是基于分位数的风险度量，忽略了尾部的极端风险。V@R属于失真风险度量系列。严重缺乏V@R企业可以在企业网络中隐藏其全部下行风险，除非每个经济情景都需要一份综合偿付能力资产负债表。在这种情况下，他们可以通过在一个由足够多实体组成的网络结构内签订适当的转让协议，大幅降低其总资本要求，从而规避资本监管。对于一般的畸变风险度量，我们证明了这样一个结果的几个版本V@R-类型，明确构建合适的网络投资组合分配，并最终演示如何将这些发现扩展到失真风险度量之外。我们还讨论了为什么整合需求不能完全消除这个问题。因此，资本监管应基于一致或凸的风险度量，如平均风险值或预期值。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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