Knowledge Base Articles
Part III: Asset and Liability Management Using LSMC - Allocation Optimisation
In the third and concluding article in the ALM using LMSC series, we focus on analyzing the optimal asset allocations in the context of changing asset classes as well as finding the optimal allocation by maximizing the risk-adjusted net asset value. The estimates based on the LSMC method are then compared to the estimates obtained from the full nested Monte Carlo method.
Part I: Asset and Liability Management Using LSMC - Introduction to the Framework
In the first part of the ”Asset and Liability Management using LSMC” article series, we outline an ALM framework based on a replicating portfolio approach along with a suitable financial objective. This ALM framework, albeit simplified, is constructed to provide a straightforward replication of the complex interactions between assets and liabilities. Moreover, a brief introduction to the LSMC method used to generate all underlying risk factors is presented.
Overcoming the Insufficiency of Historical Data; The Rolling Window Method
In this article, we evaluate the rolling window procedure to alleviate the problem of inadequate data by increasing the number of observations extracted from a limited set of data.
Evaluating Management Actions
In this article, we will focus on how management actions used in an internal SCR model can be evaluated and validated. This will be done from a perspective of both risk and return.
P&L Attribution: Similarities and Differences between FRTB and Solvency II
In this article, we discuss the challenges of implementing the internal model approach under FRTB and Solvency II. In particular, we focus on the P&L Attribution test, which financial institutions have to continuously perform and pass to maintain their eligibility for internal model use. The article outlines the similarities and differences between the two regulatory regimes that require the P&L Attribution test; FRTB for banks and Solvency II for insurance companies.
New proposals regarding the rights of pension savings movement
By exercising the rights of moving pension savings, consumers can benefit in a better overview of their pension savings. Unfortunately, movement of pension savings are often subject to high fees and taxation which makes it less attractive. To change this, the Swedish Ministry of Finance has presented a series of law amending propositions to improve for consumers to exercise their rights to move pension savings.
One Year of Solvency II
With the first round of annual results and disclosure under Solvency II closing in, Bank of England's Executive Director of Insurance Supervision, David Rule, highlighted in a recent speech how Solvency II has affected the insurance industry one year on since its inception.
Solvency II market risk - 3 documents to read
If you need to quickly gain an understanding of the capital requirement for market risk under Solvency II, look no further. These are the three documents you need to read.