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[論文]"Reinsurance Credit Risk: A Market-Consistent Paradigm for Quantifying the Cost of Risk"

Neil Bodoff "Reinsurance Credit Risk: A Market-Consistent Paradigm for Quantifying the Cost of Risk"
http://www.variancejournal.org/issues/07-01/11.pdf

ABSTRCT: Property-casualty insurance companies tend to by reinsurance; when they do, they must address reinsurance credit risk. This paper advocates that companies should evaluate reinsurance credit risk with a market-consistent paradigm, which manifests tow salient features; a probabilistic view of credit risk that assigns costs to low probability events, and a willingness to use market-based instruments for the purpose of quantifying the cost of risk. The proposed market-consistent paradigm facilitates a company's ability and willingness to measure, hedge, and optimize reinsurance credit risk.

KEYWORDS: Reinsurance credit risk: credit default swap; CDS.
概要

再保険の信用リスクの定量化に,再保険者のCDSを参照するというアイデア。着想は興味深いが,一方でこんな問題もありそうな:

  • 持ち株会社レベルの債券のデフォルトリスクは,実際の再保険カウンターパーティーのデフォルトリスクと大いに異なる可能性がある
  • すべての再保険者が(パブリックな)債券を発行しているわけではない,すなわちすべての再保険者にたいしてCDSの指標が得られるわけではない
  • CDSのプライスが得られたとしても,そのilliquidityからミスリーディングな指標が得られる可能性がある