Schedule of SII : First Pillar - Advanced - Session 5
| On Wednesday 24 February: | |
| 16:00 - 18:00 | SII - First Pillar - Advanced - Review SII (Part III) By WAMBEKE Mathias |
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From 16:00 to 18:00
SII - First Pillar - Advanced - Review SII (Part III)
By WAMBEKE Mathias- Extrapolation
- DLT assessments
- Current extrapolation method vs. “alternative” method
- Impact assessment & sector view
- Interest rate risk
- Relative shift approach: impact & sector view
- Long-term equity (LTE)
- Current LTE criteria, interpretation & implementation
- EIOPA proposals and impact assessment
- Risk Margin
- EIOPA proposals on Risk Margin
- Sector view on cost of capital
- Calibration of lambda attenuation factor
- Other topics
- Dynamic volatility adjustment
- Symmetric adjustment on equity risk
- Own funds buffer for compressed spreads
- Extrapolation