Equity Downside Risk: A Review of Empirical Data & Model Performance
Document ID: 2004-110 (previously Report 72)
Published on: 30th April 2004
The assessment of prudential capital now requires insurers to test low-probability scenarios for equity returns and changes in other market variables. Both the probability level and the time horizon selected for these calculations will be at the discretion of the individual office. This note presents some analysis of the equity returns associated with various tail probabilities.
