FH-WORKING PAPERS

IMMOBILIENINDIZES ALS ZEITREIHE UND ALS FUNKTION MAKROÖKONOMISCHER VARIABLEN

Authors
Alois Strobl
Publication date
05.11.2012
Course of studies
Banking and Finance

ABSTRACT

Solvency II, expected to come into force in 2013, will introduce new capital requirements aimed at mitigating the risks faced by insurance undertakings. The new regulations will have an impact on a number of risk types, not the least of which is property risk. This aspect of the new regulations has proven to be an important research topic for numerous authors (for example Feilmayr 2006). The standard approach under Solvency II is generally considered to be too conservative for Austrian real estate (Weindorfer 2012: 24).This article aims to identify methods which may potentially be used to quantify property risk and, therefore, the associated capital requirements in a more differentiated manner than required under the current version of Solvency II. We consider two possible approaches; firstly time series techniques and secondly regression techniques using macro-economic indicators as potential predictors.
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