EIOPA publishes an example of the new method to calculate the Credit Risk Adjustment

The European Insurance and Occupational Pensions Authority (EIOPA) published today an example of the new method to calculate the Credit Risk Adjustment (CRA) for “situation 3” according to paragraphs 7.3.8. – 7.3.14 of EIOPA’s Technical Documentation on the methodology to derive EIOPA’s risk-free interest rate term structures.

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