I
i-actuary
Member
Hi all,
in case a life insurer has a long position in a forward contract to sell a bond in 1 year.
what are the scr charges within SF S2?
I guess counter party default risk - type 1 ; when the net position is +ve for the insurer against the counterparty (say the clearing house or the investment bank that is responsible for clearing the derivative)
1. is there anything else ? for example interest rate risk or any concentration risk if the insurer has a large exposure in this bond - hence the forward has a large value (without netting of)
2. until the physical delivery of the bond is my understanding correct that the insurer keeps any relevant market risk in respect of the bond eg int rate risk, spread risk etc
thank you
in case a life insurer has a long position in a forward contract to sell a bond in 1 year.
what are the scr charges within SF S2?
I guess counter party default risk - type 1 ; when the net position is +ve for the insurer against the counterparty (say the clearing house or the investment bank that is responsible for clearing the derivative)
1. is there anything else ? for example interest rate risk or any concentration risk if the insurer has a large exposure in this bond - hence the forward has a large value (without netting of)
2. until the physical delivery of the bond is my understanding correct that the insurer keeps any relevant market risk in respect of the bond eg int rate risk, spread risk etc
thank you