In running the
QIS 3 exercise,
CEIOPS published an additional calibration paper which deals with the calibration of credit risk within the
SCR standard formula. It describing the rationale and assumptions underlying the spread risk, counterparty default risk and concentration risk modules. The document will provide additional information to the calibration paper previously published at the launch of the
QIS 3 exercise.
Deadline for contributions to QIS3 is 29 June 2007.
Document
© CEIOPS
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