Solvency II correlations “too conservative”
The Chief Risk Officer’s (CRO) Forum, the European body comprised of the 15 largest European insurers, has strongly criticised the use of correlation parameters at financial crisis levels in the revised Solvency II market risk correlation matrix.
The adjustments proposed by the Committee of European Insurance and Occupational Pensions Supervisors (Ceiops) in its consultation paper 74 were criticised in a report produced by the CRO Forum titled, Calibration Recommendation for the Correlations in
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