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.
24 June 2021
09:00am to 15:00pm
£350 + VAT
By the end of the course, participants will understand:
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
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
The core of the material is slides but these are carefully designed to prompt comment and discussion, they include questions (‘thought exercises’) and also include excerpts from recent Pillar 3 disclosures in order to promote a high degree of participation and interactivity.
This programme may be approved for up to 5 CPD units in Financial Regulation. Eligibility criteria and CPD Units are verified directly by your association, regulator or other bodies where you hold membership.
Who should attend
This course is recommended for:
All insurance firm staff, in particular:
Who is 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).
Price - 350
CPDs - 5