Stanovení solventnostního kapitálového požadavku na akciové riziko

Abstract

The aim of this master thesis is to define the solvency and minimum capital requirement for euity risk under the Solvency II Directive. To quantify them, variations of the models for the Value at Risk are used as well as the standard formula given in the directive. In the first part, the concept of Solvency II and the method of calculating capital requirements within Solvency II are theoretically approximated. The second part contains a methodology for calculating capital requirements through internal models. The basic relationships for portfolio analysis, general models based on Autoregressive conditional heteroskedasticity and their modifications and the process of determining capital requirements using the Value at Risk methods are presented. In the third part of the thesis, the procedures are applied to the insurer's portfolio.