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- W1940262773 abstract "We present a framework on how to hedge the interest rate sensitivity of liabilities discounted by an extrapolated yield curve. The framework is based on functional analysis in that we consider the extrapolated yield curve as a functional of an observed yield curve and use its G^ateaux variation to understand the sensitivity to any possible yield curve shift. We apply the framework to analyse the Smith-Wilson method of extrapolation that is proposed by the European Insurance and Occupational Pensions Authority (EIOPA) in the coming EU legislation Solvency II, and the method recently introduced, and currently prescribed, by the Swedish Financial Supervisory Authority." @default.
- W1940262773 created "2016-06-24" @default.
- W1940262773 creator A5012396624 @default.
- W1940262773 date "2014-06-24" @default.
- W1940262773 modified "2023-09-27" @default.
- W1940262773 title "How to hedge extrapolated yield curves" @default.
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- W1940262773 hasPublicationYear "2014" @default.
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