Mortgage Credit Risk Regulation for a Foreign Private Insurance Company

IFE Group was engaged by a foreign private insurance company to conduct a comprehensive review of the approaches in regulation and supervision of the financial institution’s exposure to risk-based capital requirements. Empirical parameters of probability of default and loss-given default were estimated by using market credit default swap prices from several financial institutions in a similar industry. The research report was a key reference in the corresponding government’s policy ruling towards the loosening of the private insurance industry.