This briefing note summarises the new design of the Volatility Adjustment (VA) and presents an impact analysis on the effectiveness of the VA under this approach. What is the impact on the dynamics of the VA in times of stress?
The alternative design of the Volatility Adjustment: Is EIOPA successful in removing the overshooting effect?
ByFreek Zandbergen
29 May 2020
The alternative design of the Volatility Adjustment: Is EIOPA successful in removing the overshooting effect?