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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