The 2008–2009 Global Financial Crisis (GFC) has swayed regulators to set forth the Solvency II agreement for determining Solvency Capital Requirement (SCR) for insurance companies. In this paper, we apply novel internal models to investigate whether the latest version of the Solvency II standard model demands sufficient capital charges, both in normal and stressed times, for the different risk categories included in bond and stock portfolios. Because the GFC has shown that extreme events on the tail of probability distributions can occur quite often, our empirical findings indicate that the magnitude of the equity risk using the GJR–EVT–Copula method requires insurers to keep more SCR for stock portfolios than the Solvency II standard model. In the case of a bond portfolio, we conclude that the Solvency II standard model requires approximately the same SCR as our internal model for the higher quality and longer maturity bonds, whereas the standard model overestimates SCR for the lower quality and shorter maturity bonds. At the same time, the standard model underestimates interest-rate risk and overestimates spread risk. Overall, the discrepancies in the estimated SCRs between the Solvency II standard technique and our internal models increase as the level of the risks rise for both stock and bond markets. Our empirical results are in line with other competing internal modeling techniques regarding stock market investment and bond portfolios with the higher quality and longer maturity bonds, while for the lower quality and shorter maturity bonds, the results contradict other modeling procedures. The obtained empirical results are interesting in terms of theory and practical applications and have important implication for compliance with the Solvency II capital requirements. Likewise, it can be of interest to insurance regulators, policymakers, actuaries, and researchers within the field of insurance and risk management.

中文翻译：

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在偿付能力II下衡量市场和信用风险：股票和债券市场的标准技术与内部模型的评估

2008-2009年全球金融危机（GFC）迫使监管机构制定了偿付能力II协议，以确定保险公司的偿付能力资本要求（SCR）。在本文中，我们应用新颖的内部模型来研究Solvency II标准模型的最新版本是否在正常和压力时期都要求对债券和股票投资组合中的不同风险类别进行足够的资本支出。因为全球金融危机已经表明，概率分布尾部的极端事件可能经常发生，所以我们的经验发现表明，使用GJR–EVT–Copula方法的股票风险规模要求保险公司为股票投资组合保留比偿付能力更高的SCR。 II标准模型。对于债券投资组合，我们得出结论，对于更高质量和更长期限的债券，Solvency II标准模型需要与我们内部模型大致相同的SCR，而对于更低质量和较短期限的债券，标准模型高估了SCR。同时，标准模型低估了利率风险，高估了利差风险。总体而言，随着股票和债券市场风险水平的提高，Solvency II标准技术与我们内部模型之间的估计SCR差异也随之增加。我们的经验结果与其他竞争性内部建模技术相一致，这些内部建模技术涉及具有较高质量和较长期限债券的股票市场投资和债券投资组合，而对于较低质量和较短期限债券而言，该结果与其他建模程序相矛盾。获得的经验结果在理论和实际应用方面都很有趣，并且对遵守偿付能力标准II资本要求具有重要意义。同样，保险业和风险管理领域的保险监管机构，保单制定者，精算师和研究人员也可能对此感兴趣。