Part 1: Managing the Standard Formula SCR
By Josh Dobiac, Maarten Ruissaard, and Freek Zandbergen
03 December 2020
EIOPA, as part of its Solvency II review, proposed updates to the approach used to derive yield curves. This update attempts to balance several competing concerns, including liquidity considerations, market consistency, and counter-cyclicality. This paper addresses how hedgers can manage Solvency Capital Requirements, given the details of the proposed changes communicated by EIOPA in its consultation document.
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About the Author(s)
Josh Dobiac
Maarten Ruissaard
Freek Zandbergen
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