Quantifying credit and market risk under Solvency II: Standard approach versus internal model
Year of publication: |
2012
|
---|---|
Authors: | Gatzert, Nadine ; Martin, Michael |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 51.2012, 3, p. 649-666
|
Publisher: |
Elsevier |
Subject: | Solvency II | Internal model | Rating-based credit risk model | Market risk | Credit risk |
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