Course Overview
Solvency II defines by how much an insurer’s assets should exceed its liabilities, under an expected and a stressed scenario, and so is fundamental to the business and the business model. This course goes through all of the many different stages and components of how this is done, illustrated throughout with recent examples from both General and Life insurers. It highlights the importance of the asset composition and how it relates to the liabilities and includes calibrations for a number of the risk modules. It also covers business-critical elements such as the Matching Adjustment and why this is under review.
| Date | 14th of May 2024 |
| Time | 09:30 – 16:30 UK Time |
| Duration | 6 hours |
| Price | GBP 774 (incl. VAT) |
Training Objectives
By the end of the programme, participants will:
• Solvency II’s objectives
• How Solvency II tries to quantify an insurer’s liabilities and assets under an expected and a stressed scenario
• The many different elements of Solvency II and how they interact
• How some of the risk modules are calibrated
• The particular impact of Solvency II on life insurers
Training Outline
• Introduction and overview, the regulation’s objectives
• Base case scenario:
• Best Estimate Liabilities, reinsurance and asset market value
• The Long Term Guarantee Package, bond credit spreads and the Matching and Volatility Adjustments, asset-liability management and Interest rate risk
• Stressed scenario – the Solvency Capital Requirement
• Adjustments for Loss-Absorbing Capacity
• Liabilities – Standardised calibrations and Partial Internal Models
• Assets – Standardised stresses
• Diversification benefits and the Risk Margin, Transitional Measures and Resets
• Own funds constituents and the cover ratio
• Pillar Two – stress tests, governance
• Review
Industry Expert | Michael Stafferton
Michael began his financial markets career in 1986 on the Financial Engineering desk at Yamaichi International, then one of the so-called ‘Big Four’ Japanese securities houses. The desk was mainly responsible for designing, structuring and swapping vanilla and structured bond issues for European clients. He then moved to a coverage role, predominantly in the UK and Eire, with responsibility for some of the more technically demanding clients, including the Bank of England and the European Investment Bank. He greatly expanded the volume of deals done, including a government, major banks, building societies and corporates. The role also involved working on UK privatisations and with the bank and fund management arm. In 1994 he moved to Kleinwort Benson with responsibility for debt, convertible and tax-structured origination with a number of top UK companies and helped launch an FRN. He has been training across a wide spectrum of cash instruments, derivatives, commodities and in risk management and regulation since 1999, at up to senior management level globally, his clients comprising mainly the top tier investment banks and fund managers, and is the author of a textbook on credit derivatives (Credit Derivatives Workbook, Euromoney, 2004). He is an Associate with Moody’s.
Who Should Attend
This course is ideal for:
• All insurance firm staff, in particular:
• Senior managers
• Compliance officers
• Finance/control staff
• Internal auditors
• Investment managers
• Marketing officers
• Insurer investors
Ticket Information
Additional Details
Price - 774
Duration - 6
CPDs - 6
Διοργανωτής
INTRODUCTION
Michael began his financial markets career in 1986 on the Financial Engineering desk at Yamaichi International, then one of the so-called ‘Big Four’ Japanese securities houses. The desk was mainly responsible for designing, structuring and swapping vanilla and structured bond issues for European clients. He then moved to a coverage role, predominantly in the UK and Eire, with responsibility for some of the more technically demanding clients, including the Bank of England and the European Investment Bank. He greatly expanded the volume of deals done, including a government, major banks, building societies and corporates. The role also involved working on UK privatisations and with the bank and fund management arm.
EDUCATION & QUALIFICATIONS
Michaels holds a degree in History and has a Post Graduate Certificate in Education, from the Dept of Education from Cambridge University. He is the author of a textbook on credit derivatives (Credit Derivatives Workbook, Euromoney, 2004). He is an Associate with Moody’s.
AREAS OF EXPERTISE & EXPERIENCE
Michael is an experienced financial trainer with a background in the financial markets, originally in the Fixed Income and Derivatives space. Over the years he have extended his knowledge to include risk management and regulation. Michael spends a considerable amount of time keeping up to date on developments in finance and the economy.
He has been delivering training across a wide spectrum of financial markets and in risk management and regulation since 1999, at up to senior management level globally, his clients comprising mainly the top tier investment banks, fund managers and insurers. His areas of expertise are capital markets, banking regulation and risk management.