introducing calibration methods for short rate models, the author quantifies interest rate and credit risk for corporate and …Purpose – Interest rate risk, i.e. the risk of changes in the interest rate term structure, is of high relevance in … insurers' risk management. Due to large capital investments in interest rate sensitive assets such as bonds, interest rate risk …

introducing calibration methods for short rate models, the author quantifies interest rate and credit risk for corporate and …Purpose – Interest rate risk, i.e. the risk of changes in the interest rate term structure, is of high relevance in … insurers' risk management. Due to large capital investments in interest rate sensitive assets such as bonds, interest rate risk …

Even though insurers predominantly invest in bonds, credit risk associated with government and corporate bonds has long … not been a focus in their risk management. After the crisis of several European countries, however, credit risk has … regulators for deriving solvency capital requirements, still does not require capital for credit risk inherent in, e.g., EEA …