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dc.contributor.authorDurán Sontomil, Pabloen_US
dc.contributor.authorOtero González, Luis A.en_US
dc.contributor.authorRedondo López, José A.en_US
dc.contributor.authorVivel Búa, M. Milagrosen_US
dc.identifier.citationInvestigaciones Europeas de Dirección y Economía de la Empresa (IEDEE) |c1135-2523 |v18 |y2012 |h1 |p53-68en_US
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_US
dc.publisher|aAcademia Europea de Dirección y Economia de la Empresa (AEDEM) |cVigoen_US
dc.subject.keywordinternal modelsen_US
dc.subject.keywordequity risken_US
dc.subject.keywordSolvency IIen_US
dc.titleMedición del riesgo de renta variable mediante modelos internos en Solvencia IIen_US

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