Research

Research2019-10-15T19:08:23+00:00

Working Papers and Recent Articles

  • Solvency-screen

The standard market risk model of the Swiss solvency test: an analytic solution

September, 2019|

by Andreas Niedermayer in Journal of Computational Finance, Volume 12, Number 2

We decided to submit our working paper from old days (2012) and were pleased that it got published in the Journal of Computational Finance.

  • Solvency-screen

Solvency II Fields

October, 2017|

by Bryce Kovacs, Balazs Mezöfi, Daniel Niedermayer; openfunds whitepaper

Our white paper “Solvency II Fields” introduces 13 fields of the openfunds format to allow asset managers to provide share class level risk information.

  • Solvency-screen

Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures

September, 2017|

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.

  • Solvency-screen

A Note on Yield Curve Steepness and Solvency II Capital Requirement

August, 2016|

by Daniel Niedermayer and Balazs Marton Süli

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

  • Solvency-screen

Solvency II Reporting – Fondsindustrie stark unter Druck

March, 2016|

by Daniel Niedermayer, moneycab.com/em>

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

  • Solvency-screen

Classifying Solvency Capital Requirement Contribution of Collective Investments under Solvency II

March, 2016|

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.

  • Solvency-screen

Convertible Bond Pricing

October, 2015|

by Balazs Mezöfi

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.

  • Solvency-screen

Fulfilling Investment Objectives under Minimal Solvency II Capital Charges

December, 2014|

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.

  • Solvency-screen

The Effect of Transactions on Capital Charges under the Swiss Solvency Test

November, 2014|

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.

  • Solvency-screen

Implementing the SST Standard Market Model

April, 2014|

by Bryce Kovacs, Andreas Niedermayer, Daniel Niedermayer

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

  • Solvency-screen

The Standard Market Model of the Swiss Solvency Test: an Analytical Solution

November, 2013|

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.

  • Solvency-screen

Convertible bonds fulfill their defensive role

January, 2012|

by Daniel Niedermayer, Trends Magazine
  • Solvency-screen

Die Vorzüge von Wandelanleihen unter Solvency II und dem Swiss Solvency Test

January, 2012|

by Daniel Niedermayer, Consultant Newsletter
  • Solvency-screen

ETF Selektion

January, 2010|

by Daniel Niedermayer, Marcel Wagner and Sacha Widin, Private Magazine
  • Solvency-screen

Diversifikationsvorteile dank globaler Anleihen

January, 2009|

by Luc Mathys and Daniel Niedermayer

Solvency Analytics Awards

  • Solvency-screen

A Partial Internal Model for Credit and Market Risk Under Solvency II

August, 2015|

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

  • handbook

Applying Markowitz’s Critical Line Algorithm in Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques

January, 2012|

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.

  • book

Convertible Bonds – Fundamentals, Asset Allocation, Solvency

January, 2012|

by Daniel Niedermayer (German and English versions available), Credit Suisse, 60 pages

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

  • exchange

Exchange Traded Funds und Anlagestrategien

January, 2012|

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

  • Solvency-screen

A Fast Mean Variance Optimizer and its Application to Portfolio Resampling

January, 2008|

by Andreas Niedermayer and Daniel Niedermayer, University of Basel Working Paper
  • Solvency-screen

The Cross-Section of Positively Weighted Portfolios

January, 2008|

by Daniel Niedermayer and Heinz Zimmermann
  • Solvency-screen

Portfolio Optimization under Parameter Uncertainty

January, 2007|

by Daniel Niedermayer
  • Solvency-screen

Reverting Black-Litterman: What Views are Consistent with Portfolio Weights?

January, 2007|

by Daniel Niedermayer

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