Tržišni rizici u pravnom okviru Solventnost II

professional thesis

• Author: Nika Kajfeš
• Mentor: Hrvoje Šikić (mentor)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2021-07-12, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

Posao osiguravajućih društava ovisi o preuzimanju rizika, stoga se njihov širok raspon mora uzeti u obzir prilikom poslovanja društva kako bi se znala trenutačna i buduća financijska situacija. Tržišni rizik jedan je od ključnih rizika za većinu osiguravajućih društava te njegova važnost varira ovisno o poslovanju. Prihod od ulaganja osiguravajućih društava ključan je pokretač profitabilnosti, a tržišni rizik obuhvaća varijacije u tom prihodu te značajno doprinosi potrebnom solventnom kapitalu. Zbog raznih promjena na financijskom tržištu te potrebe za ujednačenjem svih sudionika na tržištu osiguranja donesena je regulativa pod nazivom Solventnost II koja propisuje pravila poslovanja osiguravajućih društava unutar Europske unije, a koja se baziraju na riziku. Unutar Solventnosti II definirana je standardna formula za izračun potrebnog solventnog kapitala za određene module i podmodule rizika, koji se izračunava s pomoću standardno propisanih testova otpornosti na stres ili faktora koji se zatim agregiraju preko propisanih korelacijskih matrica. Općenito, standardna formula podrazumijeva kompromis između osjetljivosti na rizik i jednostavnosti. Po standardnoj formuli modul tržišnog rizika dijeli se na više podmodula. To su kamatni rizik, rizik vlasničkih vrijednosnih papira, rizik promjene cijena nekretnina, rizik prinosa, koncentracije tržišnog rizika te valutni rizik. Svaki od navedenih rizika računa se preko standardne formule te se potrebni solventni kapital za tržišni rizik izračunava agregacijom preko koeficijenata korelacije definiranih korelacijskim matricama navedenih podmodula rizika. Sveukupno, Solventnost II i izračun potrebnog solventnog kapitala za sve rizike dugoročno utječe na poboljšanje poslovanja, sistematičnije upravljanje rizicima i bolje poznavanje rizika, što doprinosi većoj stabilnosti poslovanja osiguravatelja. Velik značaj Solventnost II pridaje upravo upravljanju rizicima, što doprinosi boljem prepoznavanju rizika i što bi, naposljetku, trebalo imati pozitivan utjecaj na ukupnu izloženost osiguravajućih društava riziku te povećanu profitabilnost i sigurnost poslovanja.

Abstract (english)

The business of insurance companies depends on risk-taking, so their wide range must be taken into account in the company’s operations in order to know the current and future financial situation. Market risk is one of the key risks for most insurance companies and its importance varies depending on the business. Investment income of insurance companies is a key driver of profitability, and market risk includes variations in that income and significantly contributes to the required solvency capital. Due to various changes in the financial market and the need to unify all participants in the insurance market, a regulation called Solvency II was adopted, which prescribes the rules of business of insurance companies within the European Union that are based on risk. Within Solvency II, a Standard Formula is defined for the calculation of the Solvency Capital Requirement, which is calculated using standard prescribed stress tests or factors, which are then aggregated over the prescribed correlation matrices. In general, the standard formula implies a compromise between risk sensitivity and simplicity. According to the standard formula, the market risk module is divided into several submodules. These are interest rate risk, equity risk, property risk, spread risk, market risk concentration and currency risk. Each of these risks is calculated through the Standard Formula and the required solvency capital for market risk is calculated by aggregation over the correlation coefficients defined by the correlation matrices of these risk submodules. Overall, Solvency II and the calculation of the Solvency Capital Requirement for all risks have a long-term impact on business improvement, more systematic risk management and better risk knowledge, which contributes to greater stability of insurers’ operations. Solvency II attaches great importance to risk management, which contributes to better risk identification, which should ultimately have a positive impact on the overall exposure of insurance companies to risk and increased profitability and business security.

• Keywords: osiguravajuće društvo; tržišni rizik; Solventnost II
• Keywords (english): insurance company; market risk; Solvency II
• Language: croatian
• URN:NBN: urn:nbn:hr:217:650540
• Study programme: Title: Actuarial Mathematics; Study programme type: university; Study level: postgraduate specialist; Academic / professional title: sveučilišni/a specijalist/ specijalistica aktuarske matematike (sveučilišni/a specijalist/ specijalistica aktuarske matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2021-10-07 10:16:33