QIS5
QIS5
On the 6th of July CEIOPS published the latest draft of the QIS5 technical specifications for consultation. A major change from previous QIS exercises is the derivation of the risk-free term structure. The changes include:
- The use of swap rates as the starting point
- Explicit guidance on extrapolation
- An allowance for a liquidity premium
Barrie & Hibbert have been actively involved in the development and application of yield curve fitting and extrapolation methods. The research on this page outlines our views on the outcome of these methods.
Read our Research:
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QIS5 Standard Formula Survey ResultsSome areas covered in the text of the Fifth Impact Assessment (QIS5) are open to varying interpretations, leading to debate on a number of issues such as; how to set up the base scenarios; and how the spread tests and illiquidity premium stresses interact. Barrie & Hibbert’s Standard formula Survey invited you to submit your views and to comment on how you intended to approach these issues. We would like to thank all of our clients who took part.
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Thoughts on QIS5 Yield Curves
This Insight note provides an update and comment on the yield curves offered by the European Commission for the forthcoming Solvency II QIS5 study
