Common shock approach to counterparty default risk of reinsurance
Abstract
The paper deals with the construction of required capital to cover the default risk in portfolios with a smaller number of heterogeneous counterparties. The typical application is counterparty default risk of reinsurance (e.g., in Solvency II), but other applications in finance are also possible. Since the approach by means of Vasicek portfolio model is questionable in such cases the paper addresses mainly the approach based on the so-called...
Paper Details
Title
Common shock approach to counterparty default risk of reinsurance
Published Date
Aug 27, 2018
Journal
Volume
21
Issue
2
Pages
123 - 151
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