Insurance Risk - Insurance Risk October 2013

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Optimism as Omnibus II trilogues recommence next week

Over the summer, Omnibus II discussions picked up speed at the EU Council. Draft papers reveal a more generous volatility balancer and extended transitional measures are in the pipeline. Industry representatives believe an agreement is within reach…

Exposure under systemic impact

Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. Michael Pykhtin and Alexander Sokol show how the traditional exposure…

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