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dc.contributor.authorDurán Sontomil, Pabloen
dc.contributor.authorOtero González, Luis A.en
dc.contributor.authorRedondo López, José A.en
dc.contributor.authorVivel Búa, M. Milagrosen
dc.date.accessioned2012-01-11-
dc.date.accessioned2012-01-11T17:23:46Z-
dc.date.available2012-01-11T17:23:46Z-
dc.date.issued2012-
dc.identifier.citation|aInvestigaciones Europeas de Dirección y Economía de la Empresa (IEDEE)|c1135-2523|v18|h1|nElsevier|lAmsterdam|y2012|p53-68en
dc.identifier.pidoi:10.1016/S1135-2523(12)60060-4en
dc.identifier.urihttp://hdl.handle.net/10419/54661-
dc.description.abstractThis work focuses on developing an internal model for equity risk under Solvency II. We have used monthly data for the series of Ibex 35, Cac 40, FTSE 100 and Dax in the period between January 1992 and December 2008. This work fits by maximum likelihood method the model of normal returns, based on the standard model of QIS4, compared to the mixture of normal and a Markov regime switching model. The analyzed models are compared based on criteria of parsimony and normality of the residuals. Subsequently, we compared capital requirements resulting from applying these models against the standard formula of QIS4. The results showed that the funds needed to take the equity risk are dependent on the specification used.en
dc.language.isospaen
dc.publisher|aElsevier |cAmsterdamen
dc.subject.jelG22en
dc.subject.jelG28en
dc.subject.ddc330en
dc.subject.keywordinternal modelsen
dc.subject.keywordequity risken
dc.subject.keywordSolvency IIen
dc.titleMedición del riesgo de renta variable mediante modelos internos en Solvencia II-
dc.typeArticleen
dc.identifier.ppn682736694en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.rights.licensehttps://creativecommons.org/licenses/by-nc-nd/3.0/en
econstor.citation.journaltitleInvestigaciones Europeas de Dirección y Economía de la Empresa (IEDEE)en
econstor.citation.issn1135-2523en
econstor.citation.volume18en
econstor.citation.issue1en
econstor.citation.publisherElsevieren
econstor.citation.publisherplaceAmsterdamen
econstor.citation.year2012en
econstor.citation.startpage53en
econstor.citation.endpage68en

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