Category: Research

SCR Classification for Funds

In a nutshell Currently, standard fund reporting templates do not require aggregate figures on Solvency Capital Requirements (SCRs). We propose a conservative SCR aggregation that may be useful to insurance companies who are interested in a simple figure of a fund’s Solvency II risk profile.   The most widely used report, the Solvency II tripartite […]

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sst fast implementation

In a nutshell SolvencyAnalytics’ Fast Fourier Transform (FFT) based algorithm reduces the SST target capital’s calculation time by a factor of several thousands. This is relevant for various practical applications.   The target capital of the standard SST model (Delta-Gamma model) is typically calculated using Monte Carlo simulations. However, sometimes the speed and precision of […]

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convertible bond pricing

Convertible bond (CB) pricing functions have to be correctly implemented and tested before assessing their impact on regulatory capital charges. This page is a short summary of our technical paper on convertible bonds and introduces a basic pricing model based on a binomial tree covering CBs with e.g. callable and putable features. Moreover, we extend […]

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