CRO Forum calls for liquidity exceptions in discount curve

The chief risk officers’ (CRO) Forum, the industry lobbying body representing the 15 largest insurers in the European Union, has asked for the assets held by insurers to be considered when determining what government bond prices should be considered liquid enough for their market quotes to be used in discount rate curves ahead of extrapolation methods.

The group outlined its philosophy on the controversial issue of the determination of local yield curves in Solvency II in a paper, Extrapolation

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