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.

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

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