Solvency Capital Requirement (SCR)

The calculation for Vinter requires a sum over all combination of Probability of Default for single name exposures an insurer has (as per Art 199). However, in some cases the PoD can be 0 but this results in the associated Vinter formula for PoD j and k of 0 with a division calculation with denominator of 0 and hence an invalid mathematical result. We presume the Vinter calculation should exclude this case i.e. Article 200(2)(a) could read: "the sum covers all possible combinations (j,k) of probabilities of default on single name exposures in accordance with Article 199, excluding the case where j and k = 0;" (i.e. with ", excluding the case where j and k = 0" appended to that sentence).