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Our popular course Introduction to QuantLib Development will be taking place June 18-20th, 2018.

 
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City: Edinburgh

Country: UK

Website: http://www.barrhibb.com/

RSS Feed: http://www.barrhibb.com/rss/blog

Joined: June 8th, 2011

Activity

Barrie & Hibbert Limited wrote a new blog post titled There is nothing normal about LTGA volatility

Sandy Sharpe, David Roseburgh, Paul MacCarney Following on from our first blog which discussed the yield curve methodologies applied in the LTGA, here we highlight a few of our thoughts on the volatility data that been issued by EIOPA which can be used by participants for interest rate calibrations. The LTG assessment provides participants with example interest rate volatility surfaces which can be used along with the provided yield curves to recalibrate the stochastic nominal interest rate models. These  are then used to generate interest rates scenarios for the valuation of...
(1953 days ago)

Barrie & Hibbert Limited wrote a new blog post titled Long-Term Guarantee Impact Assessment

On 28 January 2012 EIOPA published the discount curves it wants companies to use for the Long-Term Guarantee Assessment (LTGA) exercise.  The LTGA is expected to run for 2 months, starting from 28 January 2012, with EIOPA supplying the European Commission with its findings by 14 Jun and the Commission committing to publish a report by 12 July 2012. The LTGA is intended to assess the impact of the proposed Long-Term Guarantee measures and provide quantitative input to help clear the current Omnibus II impasse. The EIOPA discount curves are noteworthy for a couple of reasons: The...
(1967 days ago)

Barrie & Hibbert Limited wrote a new blog post titled Solvency II on pensions – a necessary evil?

In February 2012, the European Insurance and Occupational Pensions Authority (EIOPA) published its final response to the European Commission’s Call for Advice on the review of the IORP Directive 2003//41/EC, now commonly known as ‘Solvency II on pensions’. Much of the subsequent debate revolves around a possible increase in pensions funding and compliance costs - for defined benefit pension schemes in particular. In the UK, various anti-SII lobbying groups argue that the UK already has strong governance structure in place such as the sponsor’s covenant to protect its...
(2176 days ago)