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

ceiops

The decision not to give capital credit for dynamic hedging programmes, in contrast to rolling hedging programmes, under the fifth Quantitative Impact Study (QIS 5) is driven by ideological considerations, not economic ones, says Andrew Birrell, chief risk officer of South African insurer Old Mutual. The Committee of European Insurance and Occupational Pensions Supervisors (Ceiops) launched QIS 5 at the end of August, and it will run until November, with results published in April 2011. And w