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ARCHIVE | Criteria | Insurance | General: Revised Insurance Risk-Based Capital Model Charge Methodology For Common Equities Nov 06
Standard & Poors, Nov 2006
Abstract
(Editor's note: This article is no longer current. It has been superseded by the article titled, 'Refined Methodology And Assumptions For Analyzing Insurer Capital Adequacy Using The Risk-Based Insurance Capital Model,' published June 7, 2010, on RatingsDirect.) Standard & Poor's Ratings Services is updating the way it assesses the capital adequacy of insurance companies worldwide. This new risk-based capital model is described in the RatingsDirect article 'Request For Comment: Revisions In The Risk-Based Insurance Capital Model.' In the model, the capital charges applied to unaffiliated common stock holdings reflect observed market volatility patterns at various confidence levels. A regime-switching lognormal model was selected to generate the modeled equity capital charge for each target rating. This model was chosen to address...
Standard and Poors RatingsXpress Credit Research provides in-depth coverage of international corporates, financial institutions, insurance companies, utilities, sovereigns and structured finance programs. RatingsXpress Credit Research lets users determine the credit rating of holdings and identify key factors underlying an issuer's creditworthiness, distinguishes the different risk exposures for new and existing deals, and provides an understanding of how their analysts interpret key regulatory, political and environmental events and their economic impact.
Research Type: Commentary
Criteria articles describe the thought process and methodology Standard & Poor's analysts use in determining ratings. These commentary pieces discuss both the quantitative (economic and financial) and qualitative (business analysis and caliber of management) aspects of the analysis, as well as legal issues.
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