Minimising the CP195 Risk Capital Margin
Document ID: 2003-820 (previously 2003-04)
Published on: 9th September 2003
Author: Craig Turnbull
The FSA's CP195 sets out proposals of how regulatory capital will be calculated for life offices at end-2004. This note discusses how (part of) this calculation of capital requirements compares with the 1-year VaR approach used in 2003/03. It also considers how the investment strategies developed in the 2003/03 case study fair under the FSA rules and what this implies for optimal capital strategies.
