Análisis del riesgo de renta variable en el marco de solvencia II: modelos internos frente al modelo estándar

Solvency II will transform the system of determining capital requirements of the insurer. The new regulatory framework proposes a standard model, but at the same time, it encourages the application of internal models of self-assessment and risk management. This paper aims to examine alternative models proposed in the literature for the measurement of insureŕs equity risk exposure. We have used monthly data series on the IBEX-35 in the period between January 1992 and December 2008. The calibrated models have allowed comparing the resulting capital requirements against the proposal of the fourth quantitative impact study (QIS4). The results show that capital requirements obtained by the better fit models are significantly greater than those of the standard model. This means that companies using the standard model or another based on similar assumptions underestimate significantly their exposure to equity risk.