This article examines the impact of the passage of the Second and Third Life and Non-Life European Insurance Directives on insurance firms located in 14 European Union countries, Norway, and Switzerland. The third directives have a wealth effect on the European insurance market, while the second...

We show that capital charges for foreign currency options estimated using a standardized model proposed by the Basle Committee on Banking Supervison are not consistently related to value at risk (VAR). We propose a simplified incremental model (SIM) and a simplified value at risk (SVAR) model...