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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

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

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

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

The impact of legal sanctions on moral hazard when debt contracts are renegotiable?

Blazy, Régis; Weill, Laurent - Centre Emile Bernheim, Solvay Brussels School of … - 2007

This research investigates how bankruptcy law influences the design of debt contracts and the investment choice through the sanction of faulty managers. We model a lending relationship between a small firm and a monopolistic bank which decides the loan rate. The firm may perform asset...

Persistent link: https://www.econbiz.de/10005357843

Entre la peste et le choléra: le détenteur d'obligations peut préférer la répudiation au défaut

OOSTERLINCK, Kim; Ureche-Rangau, Loredana - Centre Emile Bernheim, Solvay Brussels School of … - 2004

Sovereign debts are often subject to payment suspension. Default, i.e. the financial incapacity to fulfil the debt service, and repudiation, i.e. the denial by a sovereign to recognize its legal obligations, are normally used to explain these payment suspensions. Intuitively, for bondholders,...

Persistent link: https://www.econbiz.de/10005357845

Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates.

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

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have addressed the problem of pricing swap credit risk. I propose a complete implementation procedure of the structural line of research in theoretical credit risk analysis in order to...

Persistent link: https://www.econbiz.de/10005357850

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