Search results with tag "Standard approach versus internal model"

Quantifying Credit and Market Risk under Solvency II ...

QUANTIFYING CREDIT AND MARKET RISK UNDER SOLVENCY II: STANDARD APPROACH VERSUS INTERNAL MODEL Nadine Gatzert, Michael Martin ∗ ABSTRACT Even though insurers predominantly invest in bonds, credit risk associated with government and corporate bonds has long not been a focus in their risk manage-

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