Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • LinkedIn
  • Twitter

Solvency II: Regulation Change and Hedge
Fund Evolution

Mathieu Vaissié
The Journal of Alternative Investments Fall 2012, 15 (2) 86-97; DOI: https://doi.org/10.3905/jai.2012.15.2.086
Mathieu Vaissié
is a research associate at EDHEC-Risk Institute and a senior portfolio manager at Lyxor Asset Management in Paris, France.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: vaissie@hotmail.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

The growing complexity of financial markets makes it increasingly challenging for institutional investors to manage their asset–liability profile efficiently. This is especially true for financial institutions that are facing their own changes in the regulatory framework and in accounting rules. For example, although the benefits of hedge fund strategies in asset–liability management have been documented in the academic literature, the integration of these strategies into the global asset allocation of European insurance companies may be jeopardized by recent developments on the regulatory front. The Solvency II Directive is an EU directive that codifies and harmonizes EU insurance regulation. It defines the target level of capital that an EU insurance company should hold so that it can absorb significant unforeseen losses and give assurance to policyholders that payments will be made as they fall due. The Solvency II Directive is due to come into force on January 1, 2014. The author argues in this article that a solvency capital requirement of 49% does not reflect the risks inherent in hedge fund strategies. He finds that a capital charge of no more than 25% is appropriate for a diversified hedge fund allocation and concludes that hedge fund investing is appealing from both a risk-adjusted performance standpoint and a capital efficiency perspective.

TOPICS: Real assets/alternative investments/private equity, developed, legal/regulatory/public policy, risk management

  • © 2012 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments: 15 (2)
The Journal of Alternative Investments
Vol. 15, Issue 2
Fall 2012
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Solvency II: Regulation Change and Hedge Fund Evolution
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Solvency II: Regulation Change and Hedge
Fund Evolution
Mathieu Vaissié
The Journal of Alternative Investments Sep 2012, 15 (2) 86-97; DOI: 10.3905/jai.2012.15.2.086

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Solvency II: Regulation Change and Hedge
Fund Evolution
Mathieu Vaissié
The Journal of Alternative Investments Sep 2012, 15 (2) 86-97; DOI: 10.3905/jai.2012.15.2.086
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • UNDERSTANDING THE RISKS OF HEDGE FUND STRATEGIES
    • HEDGE FUND STRATEGIES UNDER THE MICROSCOPE
    • SUITABILITY OF THE CALIBRATION OF THE HEDGE FUND CAPITAL CHARGE
    • CONCLUDING REMARKS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies