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Similaire à Solvency 2 Asset Data Management
Similaire à Solvency 2 Asset Data Management (20)
Solvency 2 Asset Data Management
- 1. Solvency 2 – Asset Data
Frankfurt 23 Jan 2013
© 2013 stelios ioannides
- 2. Background
“There are two kinds of spurs, my friend.
Those that come in by the door; those that
come in by the window”.
Tuco, the Bad the Good and the Ungly
© 2013 stelios ioannides
- 3. How much shall I know?
How much do board level execs have the necessary understanding of
Solvency II at the moment?
While just over a quarter of
senior executives are
reported to be pretty well
informed, the majority
have limited or poor
understanding of Solvency
II at the moment.
© 2013 stelios ioannides
- 10. Data Quality Issues
Market Risk Credit Risk Life Risk Non-Life Risk Operational Risk
Late or Incomplete
Incomplete Missing data
valuation financial mapping
transactions rules
Missing or Incomplete
out of date Snapshot
of Missing
reference data issues
data feeds
data
Huge delays in Punitive default Calculation Increased manual
model updating values failures interventions
Increased Solvency 2 Capital Requirement!
© 2013 stelios ioannides
- 16. It is a lot of data
© 2013 stelios ioannides
- 17. Effects on Asset Management
• Capital requirements will create an
‘unlevel’ risk-reward playing ground in
between different asset classes.
• We expect closer asset-liability
matching – or at least a greater
emphasis on monitoring this.
© 2013 stelios ioannides
- 18. Effects on Asset Management
When making investment decisions,
insurers will focus on optimising return
on solvency capital.
• the cash flow profile of the liabilities is matched
using swaps and other interest rate derivatives.
• an equity risk premium of ~4% over government
bonds
• standalone required solvency capital (i.e. no
allowance for diversification)
© 2013 stelios ioannides
- 19. Likely asset allocation trends?
• Shift towards short-dated credit investments and a
‘divorce’ of the duration of the physical investment
portfolio and liability duration.
• Taking tactical risks where risk budgets allow.
• Greater use of derivatives for risk management.
• Maintaining low allocations to equity and property.
© 2013 stelios ioannides
