Working Papers and Recent Articles
Help needed on the KVG-Schnittstelle? A fund reporting interface towards your savings banks clients
by Viola Rutar
Fund reporting via Finanz Informatik-Schnittstelle allows asset managers to supply their savings banks clients with comprehensive, up-to-date and high-quality information in a fully automated manner .
Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures
by Balazs Mezöfi, Andreas Niedermayer, Daniel Niedermayer, Balazs Marton Süli in Insurance: Mathematics and Economics, Volume 76
We show that aggregating holdings’ SCRs for funds does make sense. However, a cautious interpretation of this figure is necessary.
Classifying Solvency Capital Requirement Contribution of Collective Investments under Solvency II
by Balazs Mezöfi, Andreas Niedermayer, Daniel Niedermayer, Balazs Marton Süli
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.
Fulfilling Investment Objectives under Minimal Solvency II Capital Charges
by Andreas Niedermayer, Daniel Niedermayer
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
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.
The Standard Market Model of the Swiss Solvency Test: an Analytical Solution
by Andreas Niedermayer
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.
SolvencyAnalytics Awards
SolvencyAnalytics Awards
A Partial Internal Model for Credit and Market Risk Under Solvency II
by Peter Lang
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
Books
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
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.
Exchange Traded Funds und Anlagestrategien
by Daniel Niedermayer and Marcel Wagner, financialmedia AG, 460 pages
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.