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Sector: Insurers

October 2024

Fair Pricing of MDB Sovereign Loans
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October 2024

Quantifying Preferred Creditor Treatment by Rating Grade
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August 2024

European Competitiveness and Securitisation Regulations
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May 2024

Rethinking the Securitisation Risk Weight Floor
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June 2022

Risk Analysis for Securitisation Portfolios
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April 2022

Comparing ABS and Covered Bond Liquidity
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March 2022

ABS and Covered Bond Risk and Solvency II Capital Charges
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December 2021

Capital Consumption-Based Limits: Integrating Limit and Capital Software Systems
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November 2021

Risk Transfer for Multilateral Development Banks: Obstacles and Potential
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January 2021

Infrastructure Debt Capital Charges for Insurers
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September 2020

Regional Bank Default Probabilities in the Covid-19 Crisis
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August 2020

Covid-19 Credit Market Dashboard
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July 2019

Top-down and Performance-based SME Probabilities of Default
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April 2019

Survey on the Impact of MiFID II on European Investment Research
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July 2017

Capital and Risk in Bancassurance Organisations
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July 2017

Rating Correlations and Macro Stress Testing
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July 2016

Solvency II Capital Calibration for Securitisations
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October 2015

Comments on the Commission’s Proposals for Reviving the European Securitisation Market
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August 2015

The EBA’s Proposed Capital Rules for Qualifying Securitisations
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April 2015

Default Probability Risk and Securitisation Capital
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February 2015

Comment on Antoniades and Tarashev
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December 2014

How to Revive the European Securitisation Market: a Proposal for a European SSFA
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August 2014

Case Study on Consistent Scenario Expansion
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July 2014

High Quality Securitisation: An Empirical Analysis of the PCS Definition
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April 2014

Calibration of the CMA and Regulatory Capital for Securitisations
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March 2014

Calibration of the Simplified Supervisory Formula Approach
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January 2014

Covered Bond versus ABS Liquidity
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September 2013

Maturity Effects in Securitisation Capital: Total Capital Levels and Dispersion Across Tranches
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April 2013

A Principles-Based Approach to Regulatory Capital for Securitisations
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May 2008

Determinants of Asset-Backed Security Prices in Crisis Periods
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May 2008

Dynamic Default Rates
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March 2008

Dynamic Pricing of Synthetic Collateralized Debt Obligations
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September 2007

Ratings-Based Pricing and Stochastic Spreads 
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February 2006

The Dependence of Recovery Rates and Defaults 
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December 2005

Hedging and Asset Allocation for Structured Products 
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August 2005

Judgmental Versus Quantitative Credit Risk Measures for Sovereigns 
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June 2004

Capital for Structured Products 
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May 2004

How Risky are Structured Exposures Compared to Corporate Bonds? 
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January 2004

Estimation of Credit Spread Correlations 
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January 2002

The Estimation of Transition Matrices for Sovereign Credit Ratings 
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February 2000

Estimating Volatility for Long Holding Periods 
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