Berlin 2008 – wissenschaftliches Programm

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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 13: Poster Session (posters on display 10:00-19:00)

AKSOE 13.7: Poster

Mittwoch, 27. Februar 2008, 17:30–19:00, Poster G

Some remarks on suitable risk measures for Basel II and Solvency II — •Uli Spreitzer² and Vladimir Reznik¹ — ¹WatsonWyattHeissmann Deutschland GmbH, Wiesbaden — ²Beltios GmbH, Munich * 'on leave from institute'

Concerning rsik capital within banks - Basel II - and insurance companies - Solvency II - there has been a broad discussion on how to measure the risk as measured by capital required. Beside the discussions what measure of risk is suitable: quantil, standard deviation etc. here is also some discussions on measures of risk of single or multiple businesses units. Multiple businesses are discussed using correlations matrices. We show, that there are limitations within this concept and suggest applying a measure of risk applied on the complete company after having simulated the whole company.