Solvency II credit risk charge: How severe?

Ceiops published new guidelines for the treatment of mark-to-market risk of credit products in Solvency II in its final advice on implementation to the EC in January. In this letter, Richard Martin assesses the proposed risk weights in the light of his recent research on "market implied VaR". He finds reasonable consistency but queries the treatment of higher-yielding issuers.

 

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