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This paper proposes a scenario-based approach for measuring interest rate risks. Many regulatory capital standards in banking and insurance make use of similar approaches. We provide a theoretical justification and extensive backtesting of our approach.

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This page is a summary of: Scenario-based measurement of interest rate risks, The Journal of Risk Finance, May 2021, Emerald,
DOI: 10.1108/jrf-11-2020-0228.
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