The European Systemic Risk Board published in March a report drawing attention to the treatment of sovereign risk in the risk models of financial institutions. The report examines whether favourable treatment of government debt under existing and incoming regulation (including Solvency II), incentivises firms to build sovereign exposures that could ultimately constitute a systemic risk.
Based on a relatively crude analysis, it estimates for insurers that solvency capital requirements would incre
The week on Risk.net, October 6-12, 2017Receive this by email
- Quantile, TriOptima face off in cleared swaps compression battle
- ABS set for revival under US Treasury’s liquidity buffer plans
- Leaked EU doc could shield legacy swaps from clearing grab
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Industry hails potential US relaxation of margin timing rules