Sensitivity Estimation of Traditional Life BEL Using Regression Proxies

descrizione

This work develops parsimonious, interpretable regression proxies to approximate traditional life liability responses to market shocks in macroprudential analysis and top-down stress testing.

Author(s)

Francesco Sciarretta, Francesco Ficarola, Stefano Pasqualini, Silvia Sacco

issue date

30 July 2026