“偿二代”框架下情景生成对利率风险经济资本的影响

The Impacts of Scenarios Generation on Interest Risk Economic Capital under C-ROSS

本文运用嵌套随机模拟方法对利率风险经济资本进行度量。以两全保险为例讨论了不同置信水平下,利率风险经济资本的计算过程,并重点分析了嵌套随机模拟方法中情景生成技术对利率风险经济资本的影响。得到了外部情景次数对经济资本结果影响较大,而内部情景次数对经济资本结果影响较小的结论。同时,文章还说明了运用嵌套随机模拟方法计算经济资本时,要注重置信水平的选择。

In this paper,we applied a Nested Simulations method to compute the economic capital for interest risk. Using endowment insurance as an example, we demonstrated the process for computing the interest risk economic capital under several confidence levels. We then analyzed the impacts of scenarios generation on interest risk economic capital, and arrived at the conclusion that the times of internal scenarios had a significant impacts on economic capital, while the times of internal scenarios had smaller effects on economic capital. Meanwhile, we also specified that it was important to choose the confidence levels when using the Nested Simulations method to compute economic capital.