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[…]