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.
Fulfilling Investment Objectives under Minimal Solvency II Capital Charges
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
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.
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.
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.
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.
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.
Other scientific publications
A Fast Mean Variance Optimizer and its Application to Portfolio Resampling