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RSSThe Article 192, paragraph 3, indicates the LGD formula to be applied per derivative. Let's assume that the undertaking has three contracts (=positions) with the same counterparty. Two positions share the same derivative (= same issue or same security or same ISIN code) and the third one on...
Could you please confirm if the market and counterparty risk are mutually exclusive? For example a cash account in GBP for a company reporting in euros , should be considered in the counterparty risk module as a type I exposure for its countervalue in euros and additionally in the currency risk...
§134(4) states that for recession risk the basis for calculation is "the premiums earned by the insurance or reinsurance undertaking....".Usually, it is clearly indicated whether premiums are gross premiums (before deduction of ceded premiums) or net premums (after such deduction).Could you please...
Subsection 2, Look-through approach, Article 84 (3)In relation to the above topic, can you please explain clearly the meaning of 'on the basis of the target underlying asset allocation of the collective investment.......and that they do not apply to more than 20% of the total value of the assets...
How should a receivable from the tax authority of an EU member state be treated in the Counterparty default risk module?
- Topics:
- Solvency Capital Requirement (SCR)
How is capital requirement for type 1 equities calculated for long-short equity portfolios where short positions are not taken for the purpose of risk mitigation?For instance, for a portfolio comrised of a EUR 100 long position in Stock A and EUR 100 position in Stock B, is capital charge (for a 0...
Do bonds from EU member states have to be included in the "Assets" calculation base for market risk concentration despite them carrying a concentration risk of 0?
- Is it currently a requirement under Solvency ii legislation that windstorm clustering must be taken into account when estimating exposure to aggregate European wind risk through European windstorm catastrophe models?- If so, from what date did it become a requirement? And where is this published...
How LGD on REINSURANCE RECEIVABLES is calculated? Does paragraph 6 of Article 192 apply?
What is the rationale behind the coefficient (1.5 for flood, 5 for hail) used to increse sum insured on LoB5?Flood: SI(motor,r,t) is multiplied by coefficient 1.5;Hail: SI(motor,r,t) is multiplied by coefficient 5;