Insurance
ERM reboot: how insurers are turning risk decisioning into strategic advantage
Enterprise risk management is a powerful strategy to identify, assess and manage risks across the business. For insurers, two ERM objectives are critical: ensuring regulatory compliance and establishing a framework for healthy investment risk appetite
Allianz Life halves index CDS book in Q4
Counterparty Radar: Move by US market behemoth pushes life insurers’ notional down by almost 40%
Fat tails and optimal LDI portfolios
A portfolio optimisation technique for pension funds and insurance portfolios is presented
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
Insurance institutional shareholding and banking systemic risk contagion: an empirical study based on a least absolute shrinkage and selection operator–vector autoregression high-dimensional network
The authors use a LASSO-VAR method and generalized variance decomposition to measure the systemic risk contagion effect of Chinese-listed banks.
UK life insurers pass BoE stress test with 64% hit to surplus capital
Sector deemed resilient, but plausibility of some management actions questioned
Financial firms rethink after cyber insurance premium spike
Brokers say there are signs pressure is easing, but quantum hacking threat could transform market
Review of 2022: Fighting on all fronts
Macro headlines unleashed micro-horrors, as margins soared, correlations cracked and crypto markets imploded
Transforming your actuarial function to stay agile and competitive
While transformation is important, its success depends on putting data in capable people’s hands
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
US pensions take hit as illiquid assets prove hard to shift
Corporate plans forced to sell alts at discount as insurers baulk at riskier investments
Cohen & Co yields 8% by lending to unrated insurance companies
Small firms in ‘the safest industry in the world’ can’t raise capital, creating a trading opportunity
Bermuda ‘examined’ PE insurers criticised by US senator
Premier David Burt is ‘confident’ pension assets reinsured on the island are ‘appropriately’ regulated
Basel rules mean banks can’t compete with Coinbase – Goldman
Proposed 1,250% risk weight for crypto holdings undercuts banks’ push into burgeoning market
SEC rule could stop pension funds investing in hedge funds
Hedge funds need to hold insurance to win US pension plan money. New rules would make cover too dear
Adapting to the new normal
The current interest rate environment and need to adapt to changing technology and regulatory mandates is keeping insurers on their toes, Nakul Nayyar, head of investment risk at Guardian Life, tells Risk.net
What do regulators need from governments on climate change?
To reduce the number of climate risk scenarios, lawmakers need to start being more specific
Apollo, KKR, Ares and the Bermudan CLO arbitrage
‘Capital efficiency’ may explain a 1,100% surge in life assets reinsured on the Atlantic island
Shadow US banks cool on riskier leveraged loans
Lowest-quality syndicated loans held by non-banks fall, though they remain well above pre-pandemic levels
Product innovations push deal contingents beyond M&A
Banks entice new users with hedges related to IPOs and bankruptcy procedures
Ruin problems in a discrete risk model in a Markovian environment
This paper finds that the derivations in a previous paper by Yang et al (2019) are erroneous, and analyzes the risk model model correctly using the matrix analytic method.
Asia moves: Trio of senior hires at Barclays, Credit Suisse and Deutsche Bank, and more
Latest job changes across the industry
SEC stock loan disclosure plan won’t make markets more equal
The GameStop saga showed that securities lending is opaque. New rules are unlikely to improve things
Sixth Street leads race to buy Allianz’s US annuity book
Credit investment firm spun out of TPG in 2020 snapping up insurance assets via its Tao fund