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

Philippe Foulquier, Mohamed El Hedi Arouri, Alexandre Le Maistre: This study was jointly-conducted by the EDHEC Financial Analysis and Accounting Research Centre and EDHEC-Risk Institute, with the support of Russell Investments.


Philippe Foulquier, PhD

Professor of Finance and Accounting and Director of EDHEC Financial Analysis and Accounting Research Centre.

Mohamed El Hedi Arouri

Professor of finance at the Université d’Auvergne CRCGM, director of the Doctoral School Economics, Law and Management and a Researcher EDHEC Business School.

Alexandre Le Maistre

Risk Modeler at MACSF and PHD student at ISFA.

Type: EDHEC Publication
Date: le 17/06/2014
Research Cluster : Financial Analysis and Accounting

See Also

EDHEC-Risk Instute paper on value in sovereign bond markets accepted by the Journal of Fixed Income
- 12-09-2019
We are pleased to enclose an EDHEC-Risk Institute research article published in the...
EDHEC Faculty welcomes Oxford professor Renée B. Adams for a reseach seminar
- 11-09-2019
On September 12, 2019, EDHEC faculty will be delighted to welcome Oxford professor...
Riccardo Rebonato will unveil the results of the 12th EDHEC-Risk European ETF & Smart Beta Survey on Sept 23 in London
- 03-09-2019
Riccardo Rebonato, Professor of Finance, EDHEC Business School, EDHEC-Risk Institute,...
Launch of the
- 03-09-2019
EDHEC Business School and Scientific Beta have announced the launch of the “Advanced...