Kapitalni zahtjevi za tržišne rizike u društvima za osiguranje

professional thesis

• Title (english): Capital requirements for market risks in insurance companies
• Author: Tomislav Pušić
• Mentor: Jakša Krišto (mentor)
• Committee member: Alen Stojanović (predsjednik povjerenstva)
• Committee member: Jakša Krišto (član povjerenstva)
• Committee member: Davor Zoričić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Finance); Zagreb
• Defense date and country: 2022-02-14, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Finance

Abstract

Rad sadrži istraživanje kapitalnih zahtjeva za tržišne rizike u društvima za osiguranje. Autor analizira važnost i pokazatelje poslovanja osiguratelja u strukturi financijskog sektora; zakonodavni okvir i regulaciju osigurateljnih rizika; module tržišnih rizika u izračunu solventnosti osiguratelja i utjecaj kapitalnih zahtjeva na poslovanje i tržišni položaj društava za osiguranje. Osiguratelji, kroz svoju funkciju intermedijara, imaju značajnu ulogu u prijenosu rizika iz realnog sektora na društvo za osiguranje. Razina osiguranih rizika pridonosi financijskoj stabilnosti gospodarstva i pojedinaca. Osiguratelji moraju pravovremeno identificirati, pratiti i mjeriti rizike. Autor analizira operativni rizik i financijske rizike osiguratelja. (kreditni rizik, tržišni rizik-rizik promjene kamatne stope, valutni rizik, rizik likvidnosti). U radu su prikazani ciljevi, kapitalni zahtjevi, nadzor i supervizija i tržišna disciplina, koje sadržava Direktiva o osnivanju i obavljanju djelatnosti osiguranja i reosiguranja (Solventnost II). Analiza rizične izloženosti osiguratelja na razini EU pokazuju visoku vrijednost za rizike niskih kamatnih stopa, vlasničkih udjela, IT rizike, rizike koje proizlaze iz upravljanja aktivom i pasivom i kreditne rizike. Prema podacima o profilu rizičnosti hrvatskih društava za osiguranje, tržišni rizik je najznačajniji rizik, a potom slijedi rizik premija neživotnog osiguranja. U završnom dijelu rada je konstatirano da su kapitalni zahtjevi za tržišne rizike najznačajniji u izračunu potrebnog solventnog kapitala, izračunatog uporabom standardne formule prema modulu i podmodulima rizika. Iz strukture tržišnih rizika najvećih osiguravajućih društva u RH proizlazi velika izloženost u odnosu na valutni rizik, rizik vlasničkih vrijednosnih papira, rizik koncentracije i raspona. Upravljanje izloženošću tržišnim rizicima mora biti proaktivno, odražavati strukturu obaveza društva i uzeti u obzir kapitalna ograničenja.

Abstract (english)

The paper contains a study of capital requirements for market risks in insurance companies. The author analyzes the importance of insurers' performance indicators in the financial sector; legislative framework and regulation of insurance risks; modules of market risks in the III calculation of insolvency of insurers and the impact of capital requirements on the operations and market position of insurance companies. Insurers, through their function as intermediaries, play a significant role in transferring risk from the real sector to the insurance company. The level of insured risks contributes to the financial stability of the economy and individuals. Insurers have to identify, monitor and measure risks in a timely manner. The author analyzes the operational risk and financial risks of insurers. (credit risk, market riskinterest rate risk, currency risk, liquidity risk). The paper presents the objectives, capital requirements, supervision and market discipline contained in the Directive on the taking up and pursuit of the business of Insurance and Reinsurance (Solvency II). Analysis of insurers' risk exposure at EU level shows a high value for low interest rate risks, equity risks, IT risks, risks arising from asset and liability management and credit risks. According to the data on the risk profile of Croatian insurance companies, market risk is the most significant risk, followed by the risk of non-life insurance premiums. In the final part of the paper, it is stated that capital requirements for market risks are most important in the calculation of the required solvency capital, calculated using a standard formula according to the module and risk sub-modules. The structure of market risks of the largest insurance companies in the Republic of Croatia, there is a large exposure in relation to currency risk, equity risk, concentration and spread risk. Market risk management must be proactive, and has to reflect the structure of the company's liabilities and take into consideration capital constraints.

• Keywords: društva za osiguranje; rizici; moduli tržišnih rizika; Solvency II; kapitalni zahtjevi
• Keywords (english): insurance companies; risks; market risk modules; Solvency II; capital requirements
• Language: croatian
• URN:NBN: urn:nbn:hr:148:492965
• Study programme: Title: Financial institutions and markets; Study programme type: university; Study level: postgraduate specialist; Academic / professional title: sveučilišni/a specijalist/specijalistica financijskih institucija i tržišta (sveučilišni/a specijalist/specijalistica financijskih institucija i tržišta)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2022-02-23 08:24:19