Introduction to the changes in the Solvency II yield curve and the implications for hedging
By Josh Dobiac and Freek Zandbergen
05 October 2020
As part of its Solvency II review, the European Insurance and Occupational Pensions Authority is updating the approach to calculating the yield curve, which reflects a balancing of several different competing concerns. This report examines the new Alternative Methodology for yield curve construction under Solvency II.