标题: 2007 AM - Valuation Risk Q6 [打印本页] 作者: cv4cfa 时间: 2013-4-22 11:14 标题: 2007 AM - Valuation Risk Q6
What exactly is valuation risk in this context? They tie it back to the surplus risk but what is valuation risk?作者: JonnyKay 时间: 2013-4-22 11:14
unique to life insurance.
when interest increases, liability of life insurnace increases faster than asset, shrinks surplus..
exacerberate with the effect of disintermediation作者: bdavi77962 时间: 2013-4-22 11:15
I would rather say “liabilities decline less than assets” when interest increase.作者: grharmeyer 时间: 2013-4-22 11:15
ah okay - I understand the concept pretty well but just hadn’t come across the term ‘valuation risk’.
Cheers作者: rohitdoshi 时间: 2013-4-22 11:16
During a period of rising interest rates - Value of Assets declines faster than the Value of liabilies due to the inherent duration mismatch between the two. When rates rise - risk of disintermediation is also at its highest. Existence of valuation reserves alone may not be enough to prevent a writedown of surplus, and may create a capital adequacy problem.
