Credit risk and solvency capital requirements - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Article Dans Une Revue European Actuarial Journal Année : 2018

Credit risk and solvency capital requirements

Jérémy Allali
  • Fonction : Auteur
Mohamed Majri
  • Fonction : Auteur

Résumé

Credit risk permeates the assets of most insurance companies. This article develops a framework for computing credit capital requirements under the constant position paradigm and taking into account recovery rates. Although this framework was originally derived under the Solvency 2 regulation, it also provides concepts that can be useful under other international regulations. After a brief survey of the existing technology on rating transitions and default probabilities, the paper provides new results on risk premium adjustment factors. Then, three different procedures for reconstructing constant position market-consistent histories of credit portfolios from quoted Merrill Lynch indices are given. The reconstructed historical credit values are modeled via mixed empirical-Generalized Pareto Distribution (GPD) dynamics and a detailed parameter estimation is performed. Several validations of the estimation are also provided. Finally, credit Solvency Capital Requirements are computed and an analysis of the results per rating class is given.
Fichier non déposé

Dates et versions

hal-02312247 , version 1 (11-10-2019)

Identifiants

Citer

Jérémy Allali, Olivier Le Courtois, Mohamed Majri. Credit risk and solvency capital requirements. European Actuarial Journal, 2018, 8 (2), 487-515 p. ⟨10.1007/s13385-018-0183-5⟩. ⟨hal-02312247⟩

Collections

EMLYON
42 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More