Defining dependence - the changing face of asset class correlation

alexandermcneil-herrott-watt

The most recent round of consultation papers (CP) on the implementation of Solvency II published by Ceiops included the curious CP74 which focused on the use of correlation (see box below for a definition) in the standard solvency capital requirement formula. Curious, because it is unusual for a consultation paper to spend so long rubbishing the conceptual and practical basis for the measure it is proposing.

According to the paper, “numerous examples can be found where… correlations do not well

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

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