Solvency II credit risk charge: How severe?

Ceiops published new guidelines for the treatment of mark-to-market risk of credit products in Solvency II in its final advice on implementation to the EC in January. In this letter, Richard Martin assesses the proposed risk weights in the light of his recent research on "market implied VaR". He finds reasonable consistency but queries the treatment of higher-yielding issuers.

 

Click here for a pdf

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here