A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes
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2020
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Abstract
Various regulatory initiatives (such as the pan-European PRIIP-regulation or the German chance-risk classification for state subsidized pension products) have been introduced that require product providers to assess and disclose the risk-return profile of their issued products by means of a key information document. We will in this context outline a concept for a (forward-looking) simulation-based approach and highlight its application and advantages. For reasons of comparison, we further illustrate the performance of approximation methods based on a projection of observed returns into the future such as the Cornish–Fisher expansion or bootstrap methods.
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| Reference Key |
korn2020europeana
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| Authors | Stefan Graf,Ralf Korn;Stefan Graf;Ralf Korn; |
| Journal | european actuarial journal |
| Year | 2020 |
| DOI |
10.1007/s13385-020-00232-3
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