Insurance EuropeInsurance Europe
Position Paper
Position paper on repackaged loans calibration for standard formula spread risk

The current calibration of the spread risk module for investments in repackaged loans is calibrated based on worldwide spread data. However, it was noted by several parties that this calibration does not do justice to European Repackaged Loans, as these are overly penalized in relation to both the actual risks and other asset classes.

Published 6 April 2012
Contacts
Olav Jones
Olav Jones
Deputy director general/Director, economics & finance