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How LGD on REINSURANCE RECEIVABLES is calculated? Does paragraph 6 of Article 192 apply?

- 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...

For one-year renewable contracts, could you clarify what is the scope of premiums to be accounted for in Ps, FP_existing and FP_future, in particular where the date of recognition of the contract does not coincide with the date of inception and where the contract includes an automatic renewal...

For Concentration risk ScR,when i calculate the amount of each counterparty, Do I have to consider 'Market Value (of assets) + Accrued Interest' or just 'market Value' (without Accrued Interest)?So basically, do I have to stress 'accrued interest' under concentration risk?What about interest rate...

We have a doubt related to the treatment of covered bonds in the concentration risk module. (art.187 Delegated Acts 2015/35). The article fixes a threshold of 15% to these exposures provided that they have a credit quality step 0 or 1. In this case the covered bonds should be considered as a...

TP(life,4) denotes the technical provisions without a risk margin for all other life insurance and reinsurance obligations, after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, with a floor equal to zero;Imagine following situation:Net BEL + net TP as...

In Article 192, the wording indicates that the LGD is calculated at contract level. Therefore, for a single counterparty, the floor by zero is applied for each related contract, and a gain following the default can not compensate a loss.However, in helpertab, the floor at zero is applied per...

Is the concept of contract boundaries relevant to determine the scope of premiums to be accounted for in Ps, FP_existing and FP_future?

Article 188 of the delegated acts require an entity to calculate currency risk by applying 25% up or down shock to the foreign currency that would result in loss in basic own funds.The market risk module shall reflect the risk arising from the level or volatility of market prices of financial...