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A07: How to hedge the risk-free rate under Solvency II

Author:
Ross Evans; Emily Penn; David Johnson
Source:
Life Conference and Exhibition, 20 - 22 November 2011
Publication date:
20 November 2011
File:
PDF 300.08 KB
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Document description

Under the current Solvency II proposals the risk-free rate to discount liabilities (including an illiquidity premium) will be defined by EIOPA. The working party are looking at the implications this will have for hedging:

  • why hedge the risk-free rate?
  • methods and practicalities of hedging the basic risk-free rate  
  • hedging the illiquidity premium element of the risk-free rate.