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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: