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.
Part 1: Managing the Standard Formula SCR
ByJosh Dobiac, Maarten Ruissaard, and Freek Zandbergen
3 December 2020
Part 1: Managing the Standard Formula SCR