Now showing items 1-2 of 2

    • Backtesting an equity risk model under Solvency II 

      Duran Santomil, Pablo; Otero González, Luis; Martorell Cunill, Onofre; Merigó Lindahl, José (Elsevier, 2018-08)
      Backtesting is a technique for validating internal models under Solvency II, which allows for evaluating the discrepancies between the results provided by a model and real observations. This paper aims to establish various ...
    • The effect of financial innovation on European banks' risk 

      Otero González, Luis; Rodríguez Gil, Luis Ignacio; Martorell Cunill, Onofre; Merigó Lindahl, José (2016)
      This study examines the effect of the use of securitization and credit derivatives on the risk profile of European banks. Using information from 134 listed European banks during the period of 2006-2010, the results show ...