Solvency II market risk
If you are a non-insurance actor, e.g. a fund manager with many insurance companies as investors, trying to navigate the Solvency II landscape - here is a short reading list that will get you up to speed on the relevant risk modules:
- The delegated regulation (PDF)– these are the actual rules. In particular the sections dealing with market and default risk should be interesting to anyone trying to understand how the capital requirement (SCR) is calculated using the standard formula
- The underlying assumptions (PDF) – this document contains information on how the varouis stress levels in the standard formula have been calibrated, again it is the sections related to market risk that will be relevant here
- The standard formula dependence structure (PDF) – thoughts, principles and data used to calibrate the standard formula correlation matrices used to aggregate the various risk modules into a single SCR
That is it, once you have read or at least skimmed these documents you should have a good idea of the main components of the Solvency II market risk.