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.

Author(s) :

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.

Presentation :

Pdf
A Proposal for an Interest Rate Dampener for Solvency II to Manage Pro-Cyclical ...
(4.51 MB)
Type : Publication EDHEC
Date : le 17/06/2014
Extra information :

For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]

Research Cluster : Analyse Financière et Comptabilité

See Also

OTHERWISE#4 is online !
- 23-03-2017
One of EDHEC’s hallmarks is “being where it is not expected to be” and OTHERWISE...
Support the new generation of students
- 20-03-2017
Support the new generation of students Act for EDHEC! Many Alumni in the UK have...
Emmanuel Metais named new Dean of EDHEC Business School
- 17-03-2017
EDHEC Business School is pleased to announce Emmanuel Métais’s appointment as the new...
MSc in Data Analytics & Digital Business: a new master designed to bridge the gap between data specialists and decision makers
- 13-03-2017
EDHEC Business School is pleased to announce the launch of a new MSc in Data Analytics...