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research article
On the Group Level Swiss Solvency Test
In this paper we elaborate on Swiss Solvency Test (SST) consistent group diversification effects via optimizing the web of capital and risk transfer (CRT) instruments between the legal entities. A group level SST principle states that subsidiaries can be sold by the parent company at their economic value minus some minimum capital requirement. In a numerical example we examine the dependence of the optimal CRT on this minimum capital requirement. Our findings raise the question of how to actually implement this group level SST principle and how to define the respective level of minimum capital requirements, in particular
Type
research article
Authors
Publication date
2007
Published in
Volume
1
Start page
97
End page
115
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
August 12, 2013
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