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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...

With regards to the operational solution for the Danish market of covered bonds based on the Nykredit Realkreditindeks.Could you please confirm the duration you are applying in the VA calculation. The aforementioned document specifies that the maturity used for YdkkRFR shall correspond to the...

As a privately owned Asset Manager with a long-term view and mainly conservative institutional clients we intend to launch a new Infrastructure Equity fund.The Fund would be invested mainly in regulated or “defensive” infrastructure companies as our aim is to give investors the possibility to...

In a situation where an insurer has an asset that perfectly hedges a liability, is it acceptable to exclude both the said liability and hedging asset from the SCR calculation?Our thoughts relate to the situation when counterparty for the liability/asset is the same, and whether in this case would...

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;

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...