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dc.contributor.authorBec, Frédériqueen_US
dc.contributor.authorGollier, Christianen_US
dc.date.accessioned2009-04-20en_US
dc.date.accessioned2009-07-28T08:49:18Z-
dc.date.available2009-07-28T08:49:18Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/26641-
dc.description.abstractThis paper explores empirically the link between French equities returns Value-at-Risk (VaR) and the state of financial markets cycle. The econometric analysis is based on a simple vector autoregression setup. Using quarterly data from 1970Q4 to 2008Q3, it turns out that the k-year VaR of French equities is strongly dependent on the cycle phase: the expected losses as measured by the VaR are twice smaller in recession times than expansion periods. These results strongly suggest that the European rules regarding the solvency capital requirements for insurance companies should adapt to the state of the financial market's cycle. To this end, we propose a cycle-dependent measure of the Solvency Capital Requirement.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 2596en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordExpected equities returnsen_US
dc.subject.keywordValue at Risken_US
dc.subject.keywordinvestment horizonen_US
dc.subject.keywordvector auto-regressionen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwValue at Risken_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwVersicherungen_US
dc.subject.stwEigenkapitalvorschriftenen_US
dc.subject.stwBetriebliche Liquiditäten_US
dc.subject.stwFrankreichen_US
dc.subject.stwEuropaen_US
dc.titleTerm structure and cyclicity of value-at-risk: consequences for the solvency capital requirementen_US
dc.typeWorking Paperen_US
dc.identifier.ppn597821534en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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