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Non-Life Credit and Suretyship Default Scenario

Calculate the Default Scenario Capital instantly.

€
€
%

Default Scenario Capital

€3 000 000

Default Scenario Shock Impact

Shock charge
Retained value
ModuleShockPre-shockPost-shockCharge
Largest Selected Gross Sum Insured-10%15 000 000 €13 500 000 €1 500 000 €
Second-Largest Selected Gross Sum Insured-10%15 000 000 €13 500 000 €1 500 000 €
1Step 1

Largest Selected Default Loss

Largest Selected Default Loss=Largest Selected Gross Sum Insured×Default Loss Factor\textit{Largest Selected Default Loss} = \textit{Largest Selected Gross Sum Insured} \times \textit{Default Loss Factor}
2Step 2

Second-Largest Selected Default Loss

Second-Largest Selected Default Loss=Second-Largest Selected Gross Sum Insured×Default Loss Factor\textit{Second-Largest Selected Default Loss} = \textit{Second-Largest Selected Gross Sum Insured} \times \textit{Default Loss Factor}
3Step 3

Default Scenario Capital

Default Scenario Capital=Largest Selected Default Loss+Second-Largest Selected Default Loss\textit{Default Scenario Capital} = \textit{Largest Selected Default Loss} + \textit{Second-Largest Selected Default Loss}

Understand the Non-Life Credit and Suretyship Default Scenario

Overview

Article 134 defines the default scenario basis for lines of business 9 and 21 in credit and suretyship risk.[1]

Input Terms

  • Largest Selected Gross Sum Insured: gross sum insured for the largest exposure selected from lines of business 9 and 21 by net loss-given-default after reinsurance and special purpose vehicle recoverables. The default loss calculation uses the gross sum insured before those recoverables.[1]
  • Second-Largest Selected Gross Sum Insured: gross sum insured for the second-largest exposure selected from lines of business 9 and 21 by net loss-given-default after reinsurance and special purpose vehicle recoverables. The default loss calculation uses the gross sum insured before those recoverables.[1]
  • Default Loss Factor: scenario percentage applied to each selected gross sum insured.[1]

Technical Rationale

Article 134(3) ranks lines of business 9 and 21 exposures by net loss-given-default after reinsurance and special purpose vehicle recoverables, then applies the default factor to the gross sums insured of the two selected exposures. The design targets concentration in the largest credit and suretyship exposures rather than a broad premium-driven recession shock.

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 134 (Credit and suretyship risk sub-module) - EIOPA

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.