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Publications : Samuel Sender et Philippe Foulquier, EDHEC Position Paper, 06/07


Sender. S, P. Foulquier (2007), "QIS3: meaningful progress towards the implementation of Solvency II, but ground remains to be covered", EDHEC Risk and Asset Management Research Centre et Centre de recherche EDHEC en comptabilité et analyse financière, EDHEC Position Paper, Juin

Présentation

en Anglais

"Within the equity risk sub-module of the third Quantitative Impact Study (QIS3) undertaken by the Committee of European Insurance and Occupational Pension Supervisors (CEIOPS), a preamble to the Solvency II supervisory standard, all alternative investments are subject to a capital charge of 45%, nearly 50% higher than the 32% applied to regular equity exposures..."

[ suite: in english - 2 pages - Pdf - 42 Ko ]

Résumé

en Anglais

This document outlines our position on the third quantitative impact survey on the standard formula for the calculation of capital requirements for insurance companies under Solvency II.

Before reviewing the principles that underlie the standard formula, we will give a brief introduction to Solvency II. In light of this introduction, we will then review the changes that QIS3 has brought about in the design of Solvency II; we will also point out major improvements as well as changes that are inconsistent with the very principles of this body of regulations...

[ suite : in english - 4 pages - Pdf - 565 Ko ]

En rapport


Foulquier. P. et S. Sender (2007), "The Impact of IFRS and Solvency II on Asset-Liability Management and Asset Management in Insurance Companies", Atelier au Parlement européen sur Solvency II, Parlement européen, Bruxelles, 27 Février [ Texte intégral: en anglais - Pdf - 16 pages - 2,93 Mo ]


Foulquier, P., S. Sender (2007), "CP 20: Significant improvements in the Solvency II framework but grave incoherencies remain" (EDHEC response to Consultation Paper n° 20), EDHEC Risk and Asset Management Research Centre, EDHEC Position Paper, Janvier. [en savoir plus]


Foulquier, P., S. Sender (2006), "QIS 2: Modelling that is at odds with the prudential objectives of Solvency II", EDHEC Risk and Asset Management Research Centre et Centre de recherche EDHEC en comptabilité et analyse financière, EDHEC Position Paper, Novembre. [en savoir plus]


Noël Amenc, Philippe Foulquier, Lionel Martellini and Samuel Sender (2006), "The Impact of IFRS and Solvency II on Asset Liability Management and Asset Management in Insurance Companies", EDHEC Publications, Novembre [en savoir plus]





Sender & Foulquier, EDHEC Position Paper, 06/2007
[ Texte intégral : en anglais - 24 pages - Pdf - 1,54 Mo  ]



En savoir plus


Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la Recherche de l'EDHEC [ joanne.finlay@edhec.edu]

Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.




rédigé par
mise à jour le 19 septembre 2007

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