I
i-actuary
Member
Hi all,
i am having some questions
For 2 purposes int rate risk has the up and the down.
so we value the liabilities with:
base rf, up , and down (as prescribed by eiopa - lets forget VA, MA etc) . So Delta Liab up and Delta Liab down.
Now when we go to do the same for the assets.
in order to find the Delta Assets up and Delta assets down we need the MVAdown MVAup (and ofcourse the MVA which lets say we know it from bloomberg reuters etc).
Question 1.
if i take the CFs of the bonds and discount them with the up and down it will give me two values which i doubt they correspond to the values that should be compared with the MVA
Question 2 .
continuing from Q1 if q1 is a "yes" then my question is that in order to be consistent then if i discount the CFs of the bonds withthe rf it should give the MV which ofcourse it is not the case bc of the spreads.
Q 3
So should we apply for all scenatios (up down ) the spread (zero spread?) and then see the MVA up and down ?
Q4.
should we use the rf curves with the ufr or before the extrapolation for bonds?
thank you
i am having some questions
For 2 purposes int rate risk has the up and the down.
so we value the liabilities with:
base rf, up , and down (as prescribed by eiopa - lets forget VA, MA etc) . So Delta Liab up and Delta Liab down.
Now when we go to do the same for the assets.
in order to find the Delta Assets up and Delta assets down we need the MVAdown MVAup (and ofcourse the MVA which lets say we know it from bloomberg reuters etc).
Question 1.
if i take the CFs of the bonds and discount them with the up and down it will give me two values which i doubt they correspond to the values that should be compared with the MVA
Question 2 .
continuing from Q1 if q1 is a "yes" then my question is that in order to be consistent then if i discount the CFs of the bonds withthe rf it should give the MV which ofcourse it is not the case bc of the spreads.
Q 3
So should we apply for all scenatios (up down ) the spread (zero spread?) and then see the MVA up and down ?
Q4.
should we use the rf curves with the ufr or before the extrapolation for bonds?
thank you