This paper applies the theory of structured finance to the regulation of asset backed securities. We find the current regulation in Europe (Article 405 of the CRR) and the US (Section D of Dodd-Frank Act) to be severely flawed with respect to its key intention: the imposition of a strict loss...

Pursuant to art. 45 of the Solvency II Framework Directive, all insurance undertakings will be obliged to conduct an "Own Risk and Solvency Assessment" (ORSA). ORSA's relevance is not limited only to the second pillar of Solvency II, where mainly qualitative requirements are to be found. ORSA...

The European Commission has published a Green Paper outlining possible measures to create a single market for capital in Europe. Our comments on the Commission's capital markets union project use the functional finance approach as a starting point. Policy decisions, according to the functional...

Coming (great) events cast their (long) shadow before. As the financial crisis gave birth to the creation of the European System of Financial Supervision (ESFS), the imminent Brexit now serves as an impulse to rather extensively reorganize it. Pursuant to the preferences of the Commission—as...

Market risks account for an integral part of life insurers' risk profiles. This paper explores the market risk sensitivities of insurers in two large life insurance markets, namely the U.S. and Europe. Based on panel regression models and daily market data from 2012 to 2018, we analyze the...

Market risks account for an integral part of insurers’ risk profiles. We explore market risk sensitivities of insurers in the U.S. and Europe. Based on panel regression models and daily market data from 2012 to 2018, we find that sensitivities are particularly driven by insurers’ product...