UMA METODOLOGIA PARA ESTIMAÇÃO DO CAPITAL ECONÔMICO: INCORPORAÇÃO DE DEPENDÊNCIA ENTRE RISCOS VIA CÓPULAS / A METHODOLOGY FOR THE ESTIMATION OF ECONOMIC CAPITAL: INCORPORATING DEPENDENCE BETWEEN RISKS VIA COPULAS

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

Financial regulatory agencies have been encouraging the adoption, in risk management practices, of internal models in order to determinate the regulatory minimum capital. Most of the models can be decomposed in minor capital models, each associated to a particular risk source to which that the company is exposed. The regulatory capital will be the aggregation of these individual capitals. The companies´ risks may have non-linear dependencies which prevent the sum of the individual capitals. One of the greatest challenges of this modeling process is to identify, measure and incorporate the dependencies amongst the several risk sources. The relatively recent copula theory has been shown to offer an effective tool for the aggregation of capitals, by duly capturing and incorporating the dependence of the several risks sources when estimating the minimum capital. This dissertation presents a general discussion about a dependence measurement methodology between risks. This is then applied, at the end of dissertation, to the estimation of the economic capital of an insurance company. Since copulas allow us to separate the effects of the structure dependence to the peculiar characteristics of the marginal distribution, it is possible to explore the impact of dependencies of risks on the total economic capital. The sensitivities of the economic capital are investigated. The risks measures used to determinate the capital were the Value at Risk and Conditional Value at Risk.

ASSUNTO(S)

economic capital var (value-at-risk) var (value-at-risk) capital economico

ACESSO AO ARTIGO

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