RecessionRisk<sup>+</sup>: A Novel Recession Risk Model with Applications to the Solvency II Framework and Recession Crises Forecasting

RecessionRisk<sup>+</sup>: A Novel Recession Risk Model with Applications to the Solvency II Framework and Recession Crises Forecasting

The Solvency II regulatory framework requires European insurance companies to guarantee their solvability and stability by retaining enough Own Funds to cover future unexpected losses at a given confidence level. A Standard Formula approach is provided to estimate the capital requirement needed. Sti...

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Bibliographic Details
Main Authors: Jacopo Giacomelli, Luca Passalacqua
Format: Article
Language:English
Published: MDPI AG 2024-11-01
Series:Mathematics
Subjects:
credit risk
recession
risk management
Solvency II
suretyship
Online Access:https://www.mdpi.com/2227-7390/12/23/3747
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