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- W3109934246 abstract "Insures use derivatives to hedge risks from investments portfolios and underwriting, but this exposes them to liquidity risk. This study uses Solvency II reporting data to assess to what extent European (re-)insurers would be able to meet potential variation margin calls on interest rate swaps portfolios. Interest rate swaps pose the largest share of (re-)insurers derivatives’ portfolios. We consider several shifts to the yield curve, calculate the corresponding variation margin calls, compare them to liquid assets available to insurers and derive the potential liquidity shortfalls. Our results reveal that there may be a liquidity risk for (re-)insurers stemming from the use of derivatives, in particular interest rate swaps (IRS). This reflects both high IRS exposure and insufficient holdings of cash and liquid assets. Based on the analysis presented in this article we conclude that some insurers have not yet adapted their asset allocation and liquidity management practices to the (new) requirements on margining practices which have been introduced as part of the OTC derivatives reform." @default.
- W3109934246 created "2020-12-07" @default.
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- W3109934246 date "2019-01-01" @default.
- W3109934246 modified "2023-09-23" @default.
- W3109934246 title "Impact of Variation Margining on EU Insurers’ Liquidity: An Analysis of Interest Rate Swaps Positions" @default.
- W3109934246 hasPublicationYear "2019" @default.
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