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Reinsurance counterparty credit risks. Illustrative model for quantifying RCCR exposures using 'Default Intensity Curves'

Author:
2007GIRO 'RCCR' Working Party; Mark Flower (Chairman)
Source:
General Insurance Convention 2007
Publication date:
27 July 2007
File:
Microsoft Excel file icon 227.5 KB
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Document description

Illustrative model for quantifying RCCR exposures using 'Default Intensity Curves' based on capital market prices for corporate bonds and CDS's