Stress testing / Liquidity and funding risk [9]

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Bullet points include: Calculate Capital Resources = Assets - Liabilities First using base assumptions = (1) Then, separately, using specified stress tests that in aggregate are designed to cater for the main risks to which an insurer might be exposed = (2a), (2b) , … The stress tests are arranged into different modules (e.g. the SCR market risk module includes a stress test covering interest rate movements as well as a stress test covering equity market risk) Impact of stress is determined by change in Capital Resources it creates, i.e. (1) – (2a), (1) – (2b), etc.

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