Solvency II
WHAT IS THIS? Europe’s Solvency II directive came into effect in 2016, putting risk at the heart of a harmonised prudential framework for insurance firms. Similar in outline to the banking industry’s Basel standards, Pillar 1 sets out quantitative requirements; Pillar 2 tackles risk management and governance; Pillar 3 addresses transparency, reporting and public disclosure.
Allianz reduces interest rate risk following model change
Solvency II ratio sensitivity to -50bps interest rate shock falls from -11% to -7%
Eiopa targets cyber risk in stress tests
Forty-two insurers quizzed on IT vulnerabilities
Axa tackles equity risk
Efforts to reduce equity SCR boost Solvency II ratio by eight basis points
BoE creates volatility adjustment ‘stepping stone’ for insurers
Dynamic VA may be used for assets that fail to qualify for matching adjustment, say experts
Another Brexit: UK heading for Solvency II risk margin fix
PRA to approve local cut to risk margin but implementation may be postponed until after March 2019
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
Reinsurers take on role providing Solvency II capital relief
Firms such as RGA are covering surrender risk, offering to replicate matching adjustment
Standard bearer – Leading the IFRS 17 charge
With wins for regulatory reporting, economic scenario generation, Solvency II and stress-testing products in the 2018 Risk.net Market Technology Awards, Moody’s Analytics is well positioned to meet the demands of changing regulation such as IFRS 17
Risk solutions house of the year: Nomura
Risk Awards 2018: From reinsurance contracts to deal-contingent hedges, Japanese firm proves brains can triumph over brawn
Kicking the can: global insurance deal highlights divisions
IAIS hails “unified path” on insurance regulation, but Europe frustrated by US exceptionalism
Prudential’s Silitch on the blindspots in Basel III
Risk30 profile: Post-crisis reforms have failed to fully address systemic risk, Prudential’s CRO warns
Eiopa official says no major cut in risk margin on the cards
Policy head expects no big changes in capital from 2018 Solvency II review
Fast, accurate and straightforward extreme quantiles of compound loss distributions
In this paper, the author presents an easy-to-implement, fast and accurate method for approximating extreme quantiles of compound loss distributions (frequency + severity), which are commonly used in insurance and operational risk capital models.
Insurance experts downplay fears about risk margin
BoE paper’s prophesies of lower investment and thinner liquidity are too dramatic, specialists think
Insurance accounting shake-up puts risk centre stage
IFRS 17 will create a closer link between insurers' risk management and P&L volatility
Solvency II model approvals: lessons from round one
Board members must help shape model validation process
Insurers press case for new-look risk margin
Firms call for lower cost of capital and link to interest rates in key element of Solvency II
Building an automated process for Solvency II reporting with IBM Analytics
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Cloud computing and Solvency II
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Eiopa to revisit standard formula calibrations in ‘recurring exercise’
Authority considering periodical reviews to preserve Solvency II’s risk sensitivity
Power struggle: EU battles for supervisory convergence
European Commission’s review of the three supervisory authorities fraught with difficulties
Emerging issues in Solvency II: Cloud solutions and model risk governance
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Deal or no deal? US divided on EU insurance agreement
Benefits of mutual recognition may encourage Trump administration to keep Obama’s last act