Publicación:
Comparative analysis of interest rate term structures in the Solvency II environment

Vista sencilla de ítem
dc.contributor.authorRodríguez Sánchez, Sonia
dc.contributor.authorGonzález Sánchez, Mariano
dc.date.accessioned2024-05-20T11:24:11Z
dc.date.available2024-05-20T11:24:11Z
dc.date.issued2021-06-08
dc.description.abstractPurpose – Solvency-II is the current regulatory framework of insurance companies in the European Union. Under this standard, European Insurance and Occupational Pension Authority (EIOPA), as a regulatory board, has established that the Smith–Wilson (SW) model can be used as the model to estimate interest rate curve. This paper aims to analyze whether this model adjusts to the market curve better than Nelson–Siegel (NS) and whether the values set for the parameters are adequate. Design/methodology/approach – This empirical study analyzes whether the SW interest rate curve shows lower root mean squared errors than the NS curve for a sample of daily prices of Spanish Government bonds between 2014 and 2019. Findings – The results indicate that NS adjusts the market data better, the parameters recommended by the EIOPA correspond to the maximum values observed in the sample period and the current recommended curve for insurance companies underestimates company operations. Originality/value – This paper verifies that the criterion of the last liquid point does not allow for selecting an optimal sample to adjust the curve and criteria based on prices without arbitrage opportunities are more appropriate.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.1108/JRF-04-2020-0067
dc.identifier.issn1526-5943
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11902
dc.journal.issue1
dc.journal.titleThe journal of risk finance
dc.journal.volume22
dc.language.isoen
dc.publisherEmerald Group
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0
dc.subject.keywordsLast liquid point
dc.subject.keywordsNelson–Siegel
dc.subject.keywordsSmith–Wilson
dc.subject.keywordsSolvency-II
dc.subject.keywordsUltimate forward rate
dc.titleComparative analysis of interest rate term structures in the Solvency II environmentes
dc.typejournal articleen
dc.typeartículoes
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
Archivos
Bloque original
Mostrando 1 - 1 de 1
Miniatura
Nombre:
Gonzalez_Sanchez_Mariano_Interest_rate.pdf
Tamaño:
336.61 KB
Formato:
Adobe Portable Document Format
Descargar
Colecciones
Artículos y papers