CEU Electronic Theses and Dissertations, 2020
| Author | Szalkai-Szabo, Mate |
|---|---|
| Title | Solvency II Market Risk Modelling and Tool Development |
| Summary | The main objective of this Capstone project is to develop Excel and VBA based Tools to model and verify Solvency II (SII) Market risk capital requirements. The risk categories defined in Market risk are Interest rate risk, Equity risk, Property risk, Credit Spread risk, Currency risk and Concentration risk which insurance undertakings have to calculate on a regular basis. The scope of this project covers every risk category within the Market risk submodule. I discuss in my thesis the legislative requirements and their technical implementation in the tool developments. |
| Supervisor | Péter Szilágyi |
| Department | Economics MSc |
| Full text | https://www.etd.ceu.edu/2020/szalkai-szabo_mate.pdf |
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