Research

Working Papers and Recent Articles

A Note on Yield Curve Steepness and Solvency II Capital Requirement
by Daniel Niedermayer and Balazs Marton Süli | August 2016

Yield curve models that include steepness typically produce lower interest rate capital charges for fixed income securities.

Classifying Solvency Capital Requirement Contribution of Collective Investments under Solvency II
by Balazs Mezöfi, Andreas Niedermayer, Daniel Niedermayer, Balazs Marton Süli | March 2016

We show how aggregate sub-SCR figures on fund level can be interpreted and how to classify funds according to their ‘worst-case’ Solvency II SCR contribution.

Solvency II Reporting – Fondsindustrie stark unter Druck
by Daniel Niedermayer, moneycab.com | March 2016

A note in an online magazine on the Solvency II tripartite reporting template and the related challenges the fund industry is facing.

Convertible Bond Pricing
by Balazs Mezöfi | October 2015

We believe that convertible bonds will be favoured under Solvency II due to their regulatory capital efficiency. This paper describes our CB model implementation which we apply for SCR calculation and portfolio optimisation.

Why Insurers should buy Convertibles under Solvency II
by Daniel Niedermayer, Trends – Institutional Monthly | June 2015

This is a contribution to a Credit Suisse institutional magazine showing the impact of replacing equities by in the money convertible bonds under Solvency II.

Fulfilling Investment Objectives under Minimal Solvency II Capital Charges
by Andreas Niedermayer, Daniel Niedermayer | December 2014 (Restricted access)

We derive an algorithm for minimizing a portfolio’s Solvency Capital Requirement under a broad set of investment contraints (such as on portfolio yield, average rating, duration etc.). The paper is based on EOIPA’s Solvency II Technical Guidelines.

The Effect of Transactions on Capital Charges under the Swiss Solvency Test
by Andreas Niedermayer, Daniel Niedermayer | November 2014

This paper shows transactions’ effects on an insurance company’s target capital under the linearized FINMA standard market model. In practical applications these results can be used for balance sheet optimization and the computation of assets’ marginal SST contributions.

Implementing the SST Standard Market Model
by Bryce Kovacs, Andreas Niedermayer, Daniel Niedermayer | April 2014

This article describes the concrete steps for modelling the SST Standard Market Model and serves as guidance for the implementation of SolvencyAnalytics’ quant software.

The Standard Market Model of the Swiss Solvency Test: an Analytical Solution
by Andreas Niedermayer | November 2013

We derive an analytical solution for the delta-gamma-Monte Carlo method proposed by the Standard Model of the SST. This implementation increases computational speed by a factor of several thousands and allows for applications where a fast implementation is key.

Die Vorzüge von Wandelanleihen unter Solvency II und dem Swiss Solvency Test
by Daniel Niedermayer, Consultant Newsletter | 2012

Convertible bonds fulfill their defensive role
by Daniel Niedermayer, Trends Magazine | 2012

ETF Selektion
by Daniel Niedermayer, Marcel Wagner and Sacha Widin, Private Magazine | 2010

Diversifikationsvorteile dank globaler Anleihen
by Luc Mathys and Daniel Niedermayer | 2009

SolvencyAnalytics Awards

A Partial Internal Model for Credit and Market Risk Under Solvency II
by Peter Lang | August 2015

This paper suggests a partial internal model framework that links credit and market risk of an insurance undertaking’s fixed income portfolio under Solvency II. We implement an extended version of Lando (1998)’s reduced-form credit risk model and employ stochastic rating transition intensities in order to incorporate market risk factors into the assessment of portfolio credit risk.

Books

Exchange Traded Funds und Anlagestrategien
by Daniel Niedermayer and Marcel Wagner, financialmedia AG, 460 pages | 2012

This book (in German language) describes the functioning of ETFs and the index universe on which ETFs are benchmarked on. Moreover, it describes ETF-based, cost-efficient and diversified asset allocation strategies that can be easily implemented by investors.

Convertible Bonds – Fundamentals, Asset Allocation, Solvency
by Daniel Niedermayer (German and English versions available), Credit Suisse, 60 pages | 2012

This Credit Suisse White Paper on Convertible bonds and their role in asset allocation and under Solvency II / Swiss Solvency Test.

Applying Markowitz’s Critical Line Algorithm in Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques
by Andreas Niedermayer and Daniel Niedermayer, ed: John Guerard, Springer | 2012

This is a contribution to a book to the honour of Harry Markowitz. It is an explicit formulation of the critical line algorithm that outperforms standard software packages such as Matlab by a factor of several thousands. Other contributions by Paul Samuelson, Frank Fabozzi and others.

Other scientific publications

A Fast Mean Variance Optimizer and its Application to Portfolio Resampling
by Andreas Niedermayer and Daniel Niedermayer, University of Basel Working Paper | 2008

The Cross-Section of Positively Weighted Portfolios
by Daniel Niedermayer and Heinz Zimmermann | 2007

Portfolio Optimization under Parameter Uncertainty
by Daniel Niedermayer | 2007

Reverting Black-Litterman: What Views are Consistent with Portfolio Weights?
by Daniel Niedermayer | 2008