FH-WORKING PAPERS

SPREAD RISK UND SOLVENCY II - VERGLEICH INTERNES MODELL VS. STANDARDANSATZ

Authors
Marcus Kliaras
Matthias Maurer
Publication date
01.03.2013
Course of studies
Banking and Finance
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ABSTRACT

Measurement and management of credit risk is a special challenge nowadays. Also Solvency II introduces a standard approach for measuring credit risk. This paper deals with this approach within the Solvency II framework. In this investigation spread risk of different corporate bonds will be examined. On the one hand a result is calculated with the Solvency II spread sub module approach, on the other hand, it is tried to determine credit risk by means of an alternative model.
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