Usage of replicating portfolios for determing market risk
Keywords:
Replicating portfolio, Market risk, Financial instruments, Value at RiskAbstract
The article shows the replication portfolio and its case in the determination of market risk within the risk portfolio of a selected commercial insurance company. In article we define replication portfolio, conditions for its use as well as economic and uneconomic assumptions. Conclusion of the contribution shows real case of calculation of market risk for three models – Solvency Capital and its probability regarding the estimated economic capital of the insurance company.References
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[3] ZURICH INSURANCE COMPANY, Ltd. - REPLICATING PORTFOLIO TEAM. Replicating Portfolios with Applications. Bratislava, 2018. 92 s.
[4] ZURICH INSURANCE GROUP, Ltd. Life Actuarial Autumn School: Risk Quantification. Bratislava, 2018. 82 s.
[5] ZURICH INSURANCE GROUP, Ltd. Non-hedgeable Market risk Methodology. Zurich, 2017. 12 s.
[6] ZURICH INSURANCE GROUP, Ltd. RP Optimizer: Mathematical Document. Zurich, 2015. 57 s.
[7] ZURICH INSURANCE GROUP, Ltd. Life Replicating Portfolios: Technical Documentation. Zurich, 2017. 47 s.
[8] European Commission. Asset-liability Mismatch Risk. [online]. Solvency II Glossary. Dostupné na:
<https://definedterm.com/asset_liability_mismatch_risk/166746>
[9] IAS 32 – Finančné nástroje : prezentácia. Finančný nástroj. [online]. Dostupné na: <https://www.uad.sk/33/ias-32uniqueiduchxzASYZNYM2jRostDarzwaZNcZb4hj/>
[10] James Chen. Conditional Value at Risk (CVaR). [online]. Investopedia. Dostupné na: <https://www.investopedia.com/terms/c/conditional_value_at_risk.asp>
[11] FAYBÍKOVÁ, Ivana. 2019. Odhad kapitálovej požiadavky na solventnosť pre trhové riziko použitím replikácie portfólia. [diplomová práca]. Ekonomická univerzita v Bratislave, 2019.
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Published
2020-06-02
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