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.
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Register/Log in| Type : | EDHEC Publication |
|---|---|
| Date : | 18/10/2013 |
| Keywords : |
Solvency II |
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
