Research and publications

LTGA Impact Assessment and Bond Management: Has Solvency II reached a Deadlock?

This study analyses the effect of the new LTGA spread risk calibration on bond management. The analysis is conducted comparatively to the QIS5 calibration in order to evaluate the potential contributions of the LTGA study, particularly with respect to the quality of the bond SCR risk measure and its impact on bond investment choices.

Author(s) :

Liliana Arias, Mohamed El Hedi Arouri, Philippe Foulquier

Summary :

This study analyses the effect of the new LTGA spread risk calibration on bond management. The analysis is conducted comparatively to the QIS5 calibration in order to evaluate the potential contributions of the LTGA study, particularly with respect to the quality of the bond SCR risk measure and its impact on bond investment choices.

Register to download PDF

Register
Type : EDHEC Publication
Date : 18/10/2013
Keywords :

Solvency II