The market-consistent value of liabilities and the credit crunch

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In late December, the European insurance Chief Financial Officers Forum (CFO Forum) announced a review of its Market Consistent Embedded Value Principles(c). While maintaining its commitment to market-consistent valuation, some concern has been voiced about the appropriateness of the approach in the light of turmoil on financial markets. The CFO Forum will undertake a review of specific issues, and has included the effect of the 'liquidity premium' as an area requiring further work. What do we

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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