Hi all, Does anyone think they know where the Solvency 2 correlation matrices come from?... ....i.e where the 0.25 and 0.5's come from. It seems too good to be true that most risks have a correlation of either 0,0.25,0.5,0.75,1 or -1.
I assume this is more of an ST9 enquiry, as the actual matrices are only referred to at a high level in SA5. I do not have any information, but maybe someone else does?