Baranoff, Etti G; Sager, Thomas W - In: The Geneva Papers on Risk and Insurance - Issues and … 34 (2009) 1, pp. 100-118
In this paper, we explore U.S. life insurers’ exposure to mortgage backed securities (MBS) and its potential impact on capital should the credit ratings of these bonds be lowered. We analyse 2 years: 2003 (well before the realisation of problems with these instruments) and 2006 (immediately...