Regarding cake, your ESG shall (a) consume it, (b) retain it

I recently attended a conference where the following question came up: when you calibrate an Economic Scenario Generator for computing Solvency II technical provisions, which risk-free interest do you calibrate it to? The risk-free rate as defined by Solvency II, or the one observed in the market? That turns out to be a tricky question… Read more about Regarding cake, your ESG shall (a) consume it, (b) retain it[…]

Allocating capital should be beautifully simple. It just needs a slight adjustment to reality

Most financial institutions are somehow constrained by a budget of risk or capital requirements. Since this in an overall requirement for the business as a whole, it can be hard to reflect the constraint in everyday decisions. Read on to learn how maths can help a lot, and how reality can give you a little Read more about Allocating capital should be beautifully simple. It just needs a slight adjustment to reality[…]