- 期刊
Research on TailVaR-Based Measurement of Economic Capital of Chinese Insurance Companies
摘要
Economic capital can intensively reflect the risk of the overall level of the enterprise, and is an effective enterprise risk management channels and important means. At present, market risk is the most prominent risk in the overall economic capital measurement system, according to the former Chinese insurance company operation and asset investment ratio characteristics, this paper use Tail Var method for the Chinese insurance company economic capital is measured. The results indicate that the amount of economic capital of Chinese insurance companies is quite different from each other, the division's level of risk management is very different. Each insurance company shall be established in accordance with its own operating conditions and risk control capabilities, economic capital as the core of the risk management system framework to effectively deal with risk losses.