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SolvencyII_SCRSFTermStructureStressFactors

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Function Description

Returns an array MktInt containing a table setting out the (term dependent) MktInt stress factor mandated under the Solvency II standard form Solvency Capital Requirement for given time to cash flow. Stress test involves testing both an upward and a downward move in interest rates (and potentially involves a floor on the minimum magnitude of the downward movement thus tested). Proposed (term dependent) factors have changed during consultation process, so table returned varies according to choice of StressSetName, see MnSolvencyII_SCRSFStressSetNames and according to whether the stress direction is “up” or “down”.

 

See Nematrian Solvency II Tools for further details.

 


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