Url : https://www.edhec.edu/fr/publications/impact-solvency-ii-bond-management

Contents : Executive Summary
Introduction
I. Measuring Bond Risks under Solvency II
II. Sensitivity Analysis of Solvency II Prudential Capital Requirements within a Bond Management Environment
III. Is Solvency II's chosen Risk Measure for Bond Risk Adequate ? SCR versus Historical VaR and Volatility
IV. The Impact of Bond SCR on Insurers' Asset Allocation - Solvency II Friendly Assets
Conclusion
References
Appendices
About Russel Investments
About EDHEC-Risk Institute
About EDHEC Financial Analysis and Accounting Research Centre
EDHEC-Risk Institute Publications (2009-2012)

Language : English

Series : PUBLICATION EDHEC

Material : Electronic ; Paper