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Risks and regulation of insurance companies: is Solvency II the right answer?

Lorent, Benjamin - Centre Emile Bernheim, Solvay Brussels School of … - 2008

, we describe the reasons for an insurance regulation. Recent developments faced by insurers modified the risks encountered …The role of insurance sector has grown in importance. While there is a plethora of academic literature on the needs for … a banking regulation, literature on insurance regulation is scarce and mainly focused on asymmetry issues. In this paper …

Persistent link: https://www.econbiz.de/10005146714

Credit risk mitigation evidence in auto leases: LGD and residual value risk

Pirotte, Hugues; Schmit, Mathias; Vaessen, Céline - Centre Emile Bernheim, Solvay Brussels School of … - 2004

Persistent link: https://www.econbiz.de/10005558953

Raisons Fondamentales d’une Régulation Prudentielle du Secteur des Assurances

Lorent, Benjamin - Centre Emile Bernheim, Solvay Brussels School of … - 2008

Cet article examine l’évolution des besoins en régulation du secteur des assurances. Celui-ci tend vers le secteur bancaire si bien que la frontière entre les 2 intermédiaires financiers s’estompe. La littérature assurantielle, au contraire de la littérature bancaire, est peu...

Persistent link: https://www.econbiz.de/10005558855

Solvency II :Avancées des travaux.

Lorent, Benjamin - Centre Emile Bernheim, Solvay Brussels School of … - 2006

Solvency II, la nouvelle réglementation du secteur des assurances, est en préparation au sein de la Commission Européenne. La version définitive du texte est prévue fin 2008 pour une mise en application au sein des entreprises début janvier 2010. Solvency II se base sur 3 piliers, à...

Persistent link: https://www.econbiz.de/10005558944

Insurance Solvency Regulation: Regulatory Approaches Compared

Lorent, Benjamin - Centre Emile Bernheim, Solvay Brussels School of … - 2010

regards to the use of different risk measures, the consideration of operational and catastrophe risks, the use of internal …

Persistent link: https://www.econbiz.de/10008506605

Unveiling Sovereign Effects in European Banks CDS Spreads Variations

Peters, Marc; Pirotte, Hugues - Centre Emile Bernheim, Solvay Brussels School of … - 2014

Starting from the structural model developed by Merton (1974) and the derived notion of distance-to-default, we study the determinants of credit default swap (CDS) spreads for a sample of European banks over a period from January 2006 to December 2011. In particular, we test variables that are...

Persistent link: https://www.econbiz.de/10010887101

A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design

Pirotte, Hugues - Centre Emile Bernheim, Solvay Brussels School of … - 1999

This paper presents an alternative modelling of the term structure of the credit spreads under a structural approach. We rely upon the barrier option pricing frameworkto price a corporate zero-coupon bond with a stochastic present value of the recovery consistent with the evidence on the...

Persistent link: https://www.econbiz.de/10005738698

How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?

Pirotte, Hugues; Cossin, Didier - Centre Emile Bernheim, Solvay Brussels School of … - 1998

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing swap credit risk. We implement a recent credit risk pricing model in order to attempt to evaluate a line of research in theoretical credit...

Persistent link: https://www.econbiz.de/10005558868

Swap Credit Risk: An Empirical Investigation on Transaction Data.

Pirotte, Hugues; Cossin, Didier - Centre Emile Bernheim, Solvay Brussels School of … - 1997

Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers have recently addressed the problem of pricing swap credit risk, the empirical literature is almost non-existent. This is the only study we know of that uses actual transaction...

Persistent link: https://www.econbiz.de/10005558895

Multiple Potential Payers and Sovereign Bond Prices

OOSTERLINCK, Kim; Ureche-Rangau, Loredana - Centre Emile Bernheim, Solvay Brussels School of … - 2008

Sovereign bonds are usually priced under the assumption that only the sovereign issuer may be responsible of their repayment. In some cases however, bondholders may legitimately expect to be repaid by more than one agent. For example, when a country breaks-up, successor states may agree to...

Persistent link: https://www.econbiz.de/10005558943