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covered-bond

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MBKraus / Solvency_II_Spread_Risk_Capital_Charge

Python script for calculating the spread risk solvency capital charge ("SCR") for a bond portfolio under Solvency II (along the standard formula)

portfolio insurance risk bond fixed-income scr spread solvency-ii insurers spread-risk covered-bond capital-charge solvency

Updated Apr 15, 2018
Python

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