ERM Frameworks and Responses to risk [57]

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Bullet points include: Does a suitably deep, liquid and transparent market exist in the relevant asset or liability or in some close replica? Valuation approach (1)Yes Use price at which the (replicating) asset or liability trades in that market (2) No Liabilities valued as the sum of: (a) Value of best estimate of future liabilities discounted at deemed ‘risk-free’ rate, plus (b) A ‘risk margin’ calculated as capital cost of funding SCR required to support liability (3) Partly Any part that can be ‘replicated’ is valued as per (1) with remainder valued as per (2)

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