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dc.contributor.authorBec, Frédériqueen
dc.contributor.authorGollier, Christianen
dc.date.accessioned2009-04-20-
dc.date.accessioned2009-07-28T08:49:18Z-
dc.date.available2009-07-28T08:49:18Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2596en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordExpected equities returnsen
dc.subject.keywordValue at Risken
dc.subject.keywordinvestment horizonen
dc.subject.keywordvector auto-regressionen
dc.subject.stwKapitalertragen
dc.subject.stwValue at Risken
dc.subject.stwZinsstrukturen
dc.subject.stwKonjunkturen
dc.subject.stwVersicherungen
dc.subject.stwEigenkapitalvorschriftenen
dc.subject.stwBetriebliche Liquiditäten
dc.subject.stwFrankreichen
dc.subject.stwEuropaen
dc.titleTerm structure and cyclicity of value-at-risk: consequences for the solvency capital requirement-
dc.typeWorking Paperen
dc.identifier.ppn597821534en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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