Edhec develops framework for Solvency II equity risk management
Formula for risk control framework can optimise equity risk capital costs, claims research body
Edhec-Risk Institute, the risk and asset management research centre, has developed an investment framework that it claims will enable insurers to invest in equities at a lower Solvency II capital cost compared to a static equity allocation.
The Solvency II benchmarks, which have been developed in conjunction with asset management firm Russell Investments, provide an objective, systematic set of rules for implementing a risk-controlled investment programme to manage the risk of equity investments
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