题目：Capital Requirements for Insurance Firms
主讲人：张旋 南京审计大学经济与金融研究院副教授
张旋，南京审计大学经济与金融研究院副教授。博士毕业于英国格拉斯哥大学。研究领域为信用风险，公司金融。研究论文发表于Journal of Banking and Finance, International Journal of Forecasting, Energy Economics, Pacific-Basin Finance Journal等国内外知名金融学期刊。
时间：2021年9月29日 （周三）14:00-15:00
交流平台：腾讯会议ID 733 139 2055
摘要：
The Solvency II is already being phased in across Europe. The capital requirement under Solvency II follows a rigorous and risk-driven approach. It remains unclear whether insurers' capital holdings are risk-driven or not. Based on the regulatory data from the Bank of England, we explore the factors that influence insurance firms’ excess capital holdings and capital requirements. We find that both macroeconomic variables and firm-specific factors have a significant influence on whether an insurer holds excess capital. In addition, we find that during ICAS (Individual Capital Adequacy Standards) regime, capital requirements did not completely follow a risk-driven approach. After the financial crisis, capital requirements were raised significantly by regulators. In contrast, insurers' excess capital holdings did not fluctuate significantly during periods of frequent natural disasters. Our findings can provide policy implications for the further implementation of Solvency II and the regulatory reforms after Brexit.