偿付能力II，或如何扫除地毯下的下行风险
Solvency II, or How to Sweep the Downside Risk Under the Carpet
摘要：
根据偿付能力II，资本要求的计算是基于风险价值（V@R）。V@R是一种基于分位数的风险度量，忽略了尾部的极端风险。V@R属于失真风险度量家族。V@R的一个严重缺陷是，企业可以将其总的下行风险隐藏在企业网络中，除非每种经济情景都需要一份合并的偿付能力资产负债表。在这种情况下，它们可以通过由足够多的实体组成的网络结构内的适当转移协议，大大减少其总资本要求，从而规避资本监管。我们证明了这样的结果的几个版本的V@ R型的一般失真风险措施，明确构建合适的网络投资组合的分配，并最终证明这些发现可以扩展到失真风险措施。我们还讨论了为什么整合要求无法完全消除这个问题。因此，资本监管应该基于一致或凸风险度量，如平均风险价值或预期。
英文摘要：
Under Solvency II the computation of capital requirements is based on value at risk (V@R). V@R is a quantile-based risk measure and neglects extreme risks in the tail. V@R belongs to the family of distortion risk measures. A serious deficiency of V@R is that firms can hide their total downside risk in corporate networks, unless a consolidated solvency balance sheet is required for each economic scenario. In this case, they can largely reduce their total capital requirements via appropriate transfer agreements within a network structure consisting of sufficiently many entities and thereby circumvent capital regulation. We prove several versions of such a result for general distortion risk measures of V@R-type, explicitly construct suitable allocations of the network portfolio, and finally demonstrate how these findings can be extended beyond distortion risk measures. We also discuss why consolidation requirements cannot completely eliminate this problem. Capital regulation should thus be based on coherent or convex risk measures like average value at risk or expectiles.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
