Solvency II Standard Formula SCR: Counterparty Default Risk Module – Correlations

[this page | pdf | references | back links]

The final Solvency II Delegated Act includes the following diversification computation when aggregating Type 1 and Type 2 exposures to derive the overall capital requirement for counterparty default risk, :

This formula is effectively the same as proposed in CEIOPS (2010).

Version dated 7 December 2015

NAVIGATION LINKS
Contents | Prev | Next