Minimizing the required capital under Solvency II for ...

Table 1: Spread risk factors for bonds and loans under Solvency II. The SCR for spread risk increases for lower ratings and higher durations, which is graphically represented in Figure 2. So, to give an example, for a BBB-rated credit with a duration of 5 the SCR is equal to 12.5%. ................
................

In order to avoid copyright disputes, this page is only a partial summary.