Solvency II Standard Formula SCR: Market Risk Module – Currency Risk Sub-module

[this page | pdf | references | back links]

The currency sub-module of the market risk is specified in DA Article 188. In most instances it involves an instantaneous adverse currency move of 25% although there are exceptions for currencies that are deemed to be pegged to each other.

Version dated 7 December 2015

NAVIGATION LINKS
Contents | Prev | Next