Counterparty risk analysis using Merton's structural model under Solvency II
The new solvency regulation in the European insurance sector, denominated Solvency II, will completely transform the system of capital requirements estimation. Recently it has introduced the latest quantitative impact study (QIS5), which provides the calculation method in the internal model for the...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad del País Vasco (UPV/EHU)
2014-12-01
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| Series: | Management Letters/Cuadernos de Gestión |
| Subjects: | |
| Online Access: | http://www.ehu.es/cuadernosdegestion/revista/index.php/en/numeros?a=da&y=2014&v=14&n=2&o=5 |