The Solvency II regulatory framework creates incentives for using derivatives to mitigate risk. However, for investors willing to reduce capital charges by protecting their portfolio against losses, very few practical solutions exist. In the context of equity investments, we examine the relationship between the cost of acquiring protection (in the form of a put option) and the reduction of capital charges that it entails. We develop the idea that Solvency II regulations introduce an external utility that modifies the economic value of options. Using these findings, we show that there is a way to choose protection levels that maximizes reductions in capital charges for every dollar spent on the put options. We provide results for both risk-based and drawdown-based capital requirements and argue that risk-based capital requirements offer even greater incentives for using derivatives in the context of risk mitigation.

中文翻译：

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Solvency II 监管投资组合的最佳股权保护

Solvency II 监管框架鼓励使用衍生品来降低风险。然而，对于愿意通过保护其投资组合免受损失来降低资本费用的投资者来说，几乎没有实际的解决方案。在股权投资的背景下，我们研究了获得保护的成本（以看跌期权的形式）与其所带来的资本费用的减少之间的关系。我们认为偿付能力 II 法规引入了一种外部效用，可以改变期权的经济价值。使用这些发现，我们表明有一种选择保护水平的方法，可以最大限度地减少在看跌期权上花费的每一美元的资本费用。