Stanovení solventnostního kapitálového požadavku v rámci Solvency II

Abstract

This thesis is focused on calculation od solvency capital requirements within Solvency II by using method Value at Risk and method Expected Shortfall. It is divided into five chapters, including introduction and conclusion. At the beginning is what this thesis is about and what its objectives are. In the end there is evaluation of established results. The theoretical part is contained in second and third chapters. The second chapter describes the concept of Solvency II, specifically reasons, objectives and structure of the concept. Next are described individual risks and the method of calculation the capital requirements by internal means. Characterized is the extreme value theory, selected probability distribution and method of their comparison. It contains description of method Value at Risk and Expected Shortfall. The fourth chapter is practical application of theoretical knowledge from the previous part. From analyzed data are first selected those which reach extreme values. For these extremes are, depending on the probability distribution, by method of maximum likelihood estimated parameters. The parameters are set to the functions of the density and distribution functions. Functions are further compared graphically and then by Kolgomorov- Smirnov goodness of fit test. In conclusion, is by method Value at Risk and Expected Shortfall calculated solvency capital requirements at the 99,5 % significance level and minimum capital requirements at the 85 % significance level.