ALM and Asset Allocation Solutions

Solvency II

The Solvency II project aims to reform regulatory capital for insurance companies. In simple terms, the current arbitrary statutory capital that prevails should be replaced by Solvency Capital Requirement, which is set up according to the risk profile of insurance companies. The European Commission is due to release the Solvency II directive in 2007. This directive will be applied to national regulations and implemented in 2013.

Solvency II will have significant consequences on Asset-Liability Management and Asset Management. Although EDHEC-Risk Institute agrees with the principle that risks should be better taken into account, it considers that considerable improvements need to be made to the provisions upon which the directive will be based and that are currently under preparation.

A list of EDHEC-Risk Institute's position papers on this subject may be found below:

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