Wednesday, 6 July 2011

EIOPA Stress Tests - all good?

Rather than replicate anything covered by Gideon Benari's excellent piece on the Solvency II relevance of the stress tests, I have just aggregated thoughts a few articles here.

Modelling Design always provide a digestible summary of the mathematic around these things, and didn't fail here either.

It was a bit of a non-story as far as BAU goes (I suspect most participants were furious at having to play at this while so many aspects of the Standard Model used for the exercise are up for debate). Bernadino himself is quoted saying as much when explaining why there would be no "naming and shaming" of non-MCR compliant firms.

However there was a suggestion in the FT today that the companies which missed the MCR under one or more stresses were "widely suspected to be smaller mutuals rather than larger listed [companies]". As they broke the Omnibus II delay story, they appear to have their snitches in the right place, so it would be interesting to know which "smaller mutuals" participated, and what caused the breach.

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