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National Repository of Grey Literature 4 records found  Search took 0.00 seconds. 
The economic capital and the price of risk in a pension fund
 Čupák, Matúš ; Finfrle, Pavel (advisor) ; Mandl, Petr (referee)
In the present work we study the economic capital of pension funds and their possible extension into the new concept of Solvency II. The main task is to examine the risks that are characteristic for pension fund activity. We use several modified stress simulations, which we model using a virtual model of pension fund. Primarily we focus on changes in net asset value (NAV) which is used in standard formula for calculation of the solvency capital requirement (SCR). In conclusion, we evaluate the possible impact of applications Solvency II to pension funds, the resulting economic capital and solvency of modeled pension fund.
Detailed record
The ROC Curve
 Čupák, Matúš ; Šedová, Michaela (advisor) ; Kulich, Michal (referee)
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The economic capital and the price of risk in a pension fund
 Čupák, Matúš ; Finfrle, Pavel (advisor) ; Mandl, Petr (referee)
In the present work we study the economic capital of pension funds and their possible extension into the new concept of Solvency II. The main task is to examine the risks that are characteristic for pension fund activity. We use several modified stress simulations, which we model using a virtual model of pension fund. Primarily we focus on changes in net asset value (NAV) which is used in standard formula for calculation of the solvency capital requirement (SCR). In conclusion, we evaluate the possible impact of applications Solvency II to pension funds, the resulting economic capital and solvency of modeled pension fund.
Detailed record
The ROC Curve
 Čupák, Matúš ; Kulich, Michal (referee) ; Šedová, Michaela (advisor)
Detailed record

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4 Cupák, Michal
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