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Lack of credit for dynamic hedging in QIS 5 driven by ideology, not economics

Author: Aaron Woolner

Source: Life & Pension Risk | 31 Aug 2010

Categories: Solvency II

Topics: Committee of European Insurance and Occupational Pensions Supervisors (CEIOPS), Old Mutual, Dynamic hedging strategies, Solvency II, Quantitative Impact Study (QIS) 5

The decision not to give capital credit for dynamic hedging programmes, in contrast to rolling hedging programmes, under the fifth Quantitative Impact...

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Lack of credit for dynamic hedging in QIS 5 driven by ideology, not economics

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