Equity risk at the horizon

Technical papers

Solvency II is a key project of the European Commission (EC). It will replace the current European insurance directives (Solvency I) and aims to establish a risk-based solvency framework for the European insurance market. In its framework for consultation on Solvency II the EC proposes to calibrate all quantifiable risks on a one-year time horizon.1 It reflects the envisaged role of capital in Solvency II as a buffer against unexpected losses on a relatively short-term horizon. Adequate

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