The document discusses Solvency II, the European Union's insurance regulation framework. It describes the key entities involved in Solvency II such as the European Commission, European Council, and EIOPA. It also outlines the three pillars of Solvency II - Pillar 1 focuses on capital requirements, Pillar 2 on risk management, and Pillar 3 on transparency/disclosure. Finally, it notes that insurance companies must implement changes to become compliant with Solvency II's qualitative and quantitative requirements, and that RM Associates can provide multi-disciplinary support across the different parts of Solvency II.
34. Insurance Companies are required to become solvency II compliant by addressing a wide range of requirements, both in qualitative and
quantitative aspect:
To implement solvency 2 there are increasing need to support this project with different specialist on different front:
• Gap analysis, Impact analysis, with Program Roadmap
• Program Governance and Project Management
• Outline the linkage between Actuary, Finance, Risk, Business ,Process , Systems to support Business Solvency II Implementation
Pillar 2
• Governance analysis, Design
• Implement Risk appetite, Risk Limits, and Translate to Business Change
• Update of business functions such as Aactuary, Risk Management, Internal Control & Audit, Compliance
• Implement ORSA and Use Test
• Organisational changes, Risk Culture , Attitude and Behavior.
Pillar 3
Internal and External Reporting to DNB and Relation to Supervisors‐ IFRS and other Reporting standard
cretiseren
Aanpassingen in functies Actuariaat, Risk Management, Internal Audit, Compliancplementeren
RM Associates can support you with:
• Gap analysis SII requirements vs. Current state
• Readiness assements of your process,
project organisation & Internal Control
• Independent health checks of SII program
• Support implementation of Gap analysis findinhgs
• Program managemnt & Governance
• Streamline role in SII subareas for implementation
e.g. Define Risk appetite – Risk Limits – KRI’s,
ORSA, Risk Managememnt & Controls etc.
• Solvency II all Pillars Implementation
• Solvency II documentation
Multi‐disciplinaire Support on Different Solvency II Parts
Solvency II Support
:
:
• Balance sheet
evaluation
• Solvency Capital
Requirements
(SCR)
• Minimum Capital
Requirement
(MCR)
Our Value Proposition ‐ Solution & Expertise
35. Solvency II – Three pillar based implementation approach.
Internal controls
Risk Management
Measures of
supervision
Disclosure of
Information on
Risks
Scenario
Analyses of
Assets and
technical Pro‐
visions
Insurance Risk
Investment /
Market Risk
Operational Risk
Solvency II
Protection of Policyholders
against Failure of Insurance Companies
Credit Risk
Asset ‐ Liability
Mismatch
Technical
provisions
MCR – Minimum
Capital Require‐
ments
SCR – Solvency
Capital Require‐
ments
Internal controls
Risk Management
Own Risk & Solvency
Assessment ‐ ORSA
Measures of
supervision
Disclosure of
Information on
Risks
Scenario
Analysis of
Assets and
Technical Pro‐
visions
Technical
provisions
MCR – Minimum
Capital Require‐
ments
SCR – Solvency
Capital Require‐
ments
Pillar I
Financial Resources
Pillar II
Regulatory
Review
Pillar III
Market discipline
37. Insurance Enterprise Risk Management (ERM) System
All Business Units
Data Sources/
Applications
Integration/
ETL
Consolidated
Data
Transformation/
Calculation
Results
Data Marts
Decision Supporting/
Reporting
Meta Data
Software Infrastructure
Development Environment and System Management
Enterprise Risk
Data
Consolidation
Market Value
Assets &
Liabilities
Monte Carlo
Scenarios
Stress Test
EC / EV
VaR / TaR
Solvency & Capital
Adequacy
Regulatory
Compliance
ALM & Stochastic
Planning
…
Asset Data
• In‐force Business
• Credit
• Derivatives
• Bond Duration &
Convexity
• Equities
• Real Estate
Liability Data
• Claims
• Expense
Non‐market
economic Data
Market Risk Data
(Volatilies,
Correlations)
Integration
Extraction –Transformation ‐Load Risk Engine
(e.g., DFA Advise,
MoSes,
Algorithmics)
41. Integrated Risk & Finance Logical Architecture View
Example Measures: RAROC, VaR, RWA, Operational, Market & Credit Reporting
Data Warehouse: The Bank wide data warehouse stores the raw and processed
data from the calculation engines. It holds transaction level data and enables
views of the data by multiple dimensions e.g. counterparty, general ledger
account, functional organization, product etc. data is extracted from the business
units specific systems as frequently as is required to provide timely and
meaningful bank wide views of risk
RAROC
Capital
ELELExpensesvenue CROR
Re
Credit
Data
Integration&enrichment
Risk & FINANCE DW (Economic Data)
-Loans & Borrowings
-Economic Capital
-Revenue
-Expense
-Budgets
-Risk Capital charges
Risk & FINANCE DW
-Risk Capital- Prudential Limits (RWA)
-RWA for exposures
-Investment Portfolio
-Expected Loss EL
META DATA & BUSINESS RULES
SUPPORT
-Common meta data
-Business rules definitions & support
Integration&enrichment
RWA (Regulatory) Engines
Analytics Engines
EOD Calculators
-VaR
-Stress Testing
-Back Testing
-Prudential Limits
-Operational Risk (via
Dashboard)
INTRADAY Calculators
-VaR
-Trade position
-Real Time Limits
-Desk Level Analytics
-Operational Availability
(via dashboard)
Accounting Engine
-P&L
-RAROC
-Other Accounting Measures GL
Data Mart
(Regulatory
Reporting)
Data Mart
(Economic
Reporting)
Data Mart
(Operational Risk
Dashboard)
Reporting
Architecture
Reporting
Engine
Reporting
Engine
ServicesAPIs
RISK DIMENSIONS:
-Market Risk
-Credit Risk
-Operational Risk
-Prudential & Operational Limits
-Risk Capital Charges
& Measures
1
2
3
1. Example RAPM equation for illustration
2. This represents a shared architecture for both EOD & intraday pre deal analytics 3. RISK DASHBOARD for operational quantitative & graphical risk evaluations
Financial
Data
Client risk
Data
Market risk
Data
ODS’s
Data
Business
Actors
Traders
Debt
Managers
Operations
Accounting
Management
Regulators
Compliance
Pre deal RWA
Intraday / pre
deal
analytics
42. Contact details – For further information
James J Okarimia
Partner,
RM Associates –
Partners in Enterprise Risk Management
E: james.okarimia@rmassociates.nl
M: +31 (0) 62 3192 655
T: +31 (0) 30 2599 455