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A Proposal for an Interest Rate Dampener for Solvency II to Manage Pro-Cyclical Effects and Improve Asset-Liability Management.

EDHEC Publication

FOULQUIER Philippe ; AROURI Mohamed El Hedi ; LE MAISTRE Alexandre

GROUPE EDHEC;EDHEC-RISK INSTITUTE

2014

70

428.81-FOULQ

MARKET RISK ; INSURANCE SECTOR ; ASSETS LIABILITY MANAGEMENT ; INTEREST RATE


Number of copies : 1
No. Call n° Bar code Commentary
1 [available]

Url : http://professoral.edhec.com/recherche/publications-edhec/2014/a-proposal-for-an-interest-rate-dampener-for-solvency-ii-to-manage-pro-cyclical-effects-and-improve-asset-liability-management-200156.kjsp?RH=ZYZYZYZYZYZYZYZYZYZYZY

Contents : Executive Summary
Introduction

I.The Adequacy of the Regulator's Chosen Bond Risk Measure

II. A Proposal for an Interest Rate Dampener for Solvency II

Conclusion
Appendices
References
About Russell Investments
About EDHEC-Risk Institute
About EDHEC Financial Analysis and Accounting Research Centre
EDHEC-Risk Institute Publications (2011-2014)

Language : English

Series : PUBLICATION EDHEC

Material : Electronic ; Paper