By N. Efimov
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In contrast to banks and securities ﬁrms, the main risk to insurance companies springs from the liability side of the balance sheet, rather than from the asset side. The fundamental risk facing insurance companies is ‘‘underwriting risk,’’ the risk that they will be unable to pay their contractual obligations to policyholders. 6 But the adequacy of technical provisions depends not only on estimates of payouts under insurance contracts and costs of dealing with claims but also on the returns on invested premiums, and so insurance companies are also subject to position risk (although the term is not generally used in the insurance industry).
In 36 Capital Adequacy Beyond Basel that sense, the SEC haircuts combine credit and liquidity risk with market risk. Final net (regulatory) capital for the ﬁrm is the sum of assets, adjusted for haircuts, less the liabilities: P C SEC =Að1 À hÞÀ L A i hi where h= A , a weighted average of the haircuts, hi, for asset categories, Ai. A summary of haircuts is given in Ball and Stoll (1998). Rule 15c3-1 applies a punitive haircut of 100% to swaps and OTC derivatives. S. 45 Recently, the SEC has experimented with Basel-style internal models regulation for aﬃliates that deal in OTC derivatives.
Moreover, because the positions of a securities ﬁrm are mainly marketable instruments, the authorities would Capital Regulation for Position Risk 25 expect to be able to achieve a prompt and orderly liquidation in which customer accounts could be transferred to another ﬁrm in the event of ﬁnancial distress if a merger with a stronger ﬁrm was not possible. Since the primary objective of capital regulation is the protection of customers of the securities ﬁrm, the regulatory authorities are willing to count as regulatory capital a wide range of instruments that are subordinate to the claims of customers.