Insurers developing internal model risk calibrations for non-standard credit assets


UK insurers are beginning to model non-standard credit asset classes such as infrastructure debt within their internal models, demonstrating the growing importance of these new asset classes, a survey has found.

A number of UK insurers have introduced or are planning to introduce separate risk calibrations for a broad range of non-standard credit assets, such as asset-backed securities, according to research by Towers Watson.

Residential mortgage-backed securities, commercial mortgage-backed

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