Techniques of time series analysis are used to examine 30 year government bond yields in Germany, France, Italy and Spain. The empirical evidence reported here seems to imply that fixed income markets have reacted to the recent economic and financial crisis in Europe by starting to price in a significant possibility of government debt defaults – which means that all of a sudden sovereign credit risk (and possibly even redenomination risk) have become of some importance in the process of determining government bond prices. Given that long-term fixed income securities are an important asset class for European life insurers the findings reported here could be of some importance for regulators and lawmakers because the newly introduced Solvency II insurance regulation framework ignores these risks with regard to the calculation of solvency capital requirements. Therefore, further work to improve the new regulatory regime might still be needed.

时间序列分析技术用于检查德国，法国，意大利和西班牙的30年期政府债券收益率。此处报道的经验证据似乎暗示，固定收益市场已经对欧洲最近的经济和金融危机做出了反应，开始定价，极有可能发生政府债务违约-这意味着突然出现的主权信用风险（甚至可能是主权债务风险）。重估风险）在确定政府债券价格的过程中已变得有些重要。鉴于长期固定收益证券是欧洲人寿保险公司的重要资产类别，此处报告的发现对监管机构和立法者可能具有重要意义，因为新引入的偿付能力II保险监管框架在偿付能力资本的计算方面忽略了这些风险要求。因此，可能仍需要进一步的工作来改善新的监管制度。