An alternative model for extrapolation

An alternative model for extrapolation

technical blocks

Click here to view the full version of this article.

Recently, both insurance and pension regulators in Europe have been moving away from market-consistent valuations of long-dated liabilities. Market-consistent valuation was intended to bring transparency to the balance sheet, but it also brought low interest rates and high balance-sheet volatility. Given the lack of liquidity of ultra long-dated interest rate swaps, European policy-makers have suggested that the illiquid part of the curve, bey

To continue reading...