Insurers say repeatedly that capital charges under Solvency II’s standard formula are too high. There is one asset class, though, which both the more conservative of firms and supervisors agree is treated too leniently: sovereign bonds.
Europe’s Solvency II legislation determines that sovereign bonds issued by European Union member states are exempt from capital charges relating to spread and concentration risk. This means that, providing they hedge against interest rate risk, insurers should tr
The week on Risk.net, July 14–20, 2017Receive this by email