Aplikace kopul pro generování závislých náhodných veličin

The aim of this thesis is to explain basic terminology used in Solvency II. Solvency position is measured by amount of available capital and risk capital. In Solvency II is suggested value at risk VaR as a reference risk measure. Limitations and issues of this risk measure are addressed. Then an alternative risk measures, expected shortfall and tail VaR, are broadly discussed. In the Solvency II standard formula there is suggested using Var-Covar approach for risk capital aggregation. This approach causes large limitations in risk capital modeling. An alternative method for risk aggregation is presented by copula approach. An introduction into the theory of copula and methods of its generation are also presented. The thesis deals with three different approaches to solvency capital requirement calculations and comparison one another. At the end of the paper is assessed suitability of Gauss a student copula on historical data from Czech capital market. As well there is investigated impact of financial crisis into the simultaneous behavior of risk factors.