B&H Referenced in CEIOPS Consultation Paper No. 40 - Yield Curve Extrapolation
7th July 2009 - The CEIOPS draft advice Consultation Paper No. 40 contains a reference to our work on yield curve extrapolation. We have made this document available on our website.
Update: see our responses to the CEIOPS consultations papers here
The CEIOPS draft advice Consultation Paper No. 40 on Risk-free interest rate term structure, entitled Advice for Level 2 Implementing Measures on Solvency II: Technical Provisions - Article 85 b, contains a reference in Annex B to our work on yield curve extrapolation, entitled Barrie & Hibbert: A framework for estimating and extrapolating the term structure of interest rates, September 2008 (version 1.0).
The document and a related B&H Insights paper can be found at the following links:
- A framework for estimating and extrapolating the term structure of interest rates
- Market-consistent valuation of ultra long term cash flows
Additional B&H Client Resources
Barrie & Hibbert clients may also wish to read or watch these additional resources on the same topic:
- A 1-hour webcast by our analysts on this fundamental valuation challenge
- A complete set of technical documents, including background papers related to the yield curve extrapolation work for the Technical Advisory Panel
- Fitting the Yield Curve: Spline Interpolation and Nelson-Siegel Extrapolation
- Interest Rate Calibration: How to Set Long-Term Interest Rates in the Absence of Market Prices
- How to construct a volatility term-structure of interest rates in the absence of market prices
- A Comparison of Extrapolation Performance
If you are not a Barrie & Hibbert client but would like access to any of these materials listed above, please contact