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I have a question on calculation of PD on the level of group of (dependent) counterparties (commonly refered to as "single name exposure").Does paragraph 1 means that I need to assign each exposure a PD (based on the CQS of that exposures) and then agregate it (using weighted averge) to the level...

I have heard that derivatives should appear in the counterparty risk module instead of market risk concentration module. However, Article 189 of the regulation would seem to indicate that this applies to derivatives that are "risk-mitigation contracts" but not credit derivatives.My query is on...

1. Article 4 para 5 refers to larger or more complex exposures of insurance undertaking"2. The provision of Article 4 para 6 delivers for the purpose of para 5 precising what kind of securitisation positions are "larger or more complex exposures of an undertaking". namely: "type 2 securitisation...

I have two question about the SCR formula on market risk :Interest Rate Risk : In the formula I do not see a convexity factor. Can you explain me why you do not take account of this factor whcih is important ? Or Maybe there is an errata about this point?

Does section 3.102. of the December 2009 document still hold? More specifically, in the determination of the adjustment for market risk, should the interest rate risk and the concentration risk on the collateral be neglected?

Could you please explain how to calculate correctly the spread SCR for a not rated bond with duration = 1? If we understand the regulation correctly, it would mean that not rated credit institutions and insurance companies are assumed to be more risky thank corporates? (Despite the far tougher...

According to article 186 of the Delegated Acts,i) if Company "C" is exposed to the Insurance Group "G_I", the Group’s SOLVENCY RATIO of "G_I" is one of the inputs to be considered by “C” in order to determinate the Capital Charge for the concentration risk with reference to the exposure of "C" in...

According to article 182 et seq of the Delegated Acts, a Company "C" which owns (and / or lends money to) subsidiaries which are not consolidated in accordance with Article 335(1)(a) seems to be required to:i) Sum the fair value of all its exposures (equity, debt etc.) to non consolidated...

I work at Barclays and I am covering some insurers on the fixed income markets. I was wondering what would be the SCR Ratio for the agency issuer “European Atomic Energy Community” (EURAT) rated Aaa/AA/AAA?More generally speaking is there an exhaustive live of Solvency capital ratio for all SSA...