Front Matter Page
Monetary and Capital Markets Department
Contents
Glossary
I. Introduction
II. Overview and Framework
A. Macroprudential Stress Testing for Insurance
B. Differences between Banks and Insurance Companies and Their Implications for Stress Testing
III. Process and Methodologies
A. Object of Analysis
B. Determination of Scope
C. Methodological Framework and Data Quality
D. Valuation and Capital Resources
E. Scenario Design and Other Assumptions
F. Risk Factors and Aggregation Approaches
G. Output Measures
H. Validation of Results
I. Communicating the Outcome of Stress Tests
IV. Discussion and Conclusion
References
Appendix I—Tables
Appendix II—Additional Background
Tables
1. Overview of Possible Validation Checks
2. Summary of Key Assumptions in IMF Stress Testing of Insurance Sectors
Figures
1. Overview of IMF FSAPs and Completion of Insurance Stress Tests
2. Number of Completed Insurance Stress Tests in FSAPs Before and After the Global Financial Crisis
3. Stylized Insurance Balance Sheet and Solvency Control Levels
4. Stress Testing Process
5a. Overview of Solvency Regimes—Risk Measurement
5b. Overview of Solvency Regimes—Valuation Standards
6. Elements of Risk Assessment and Scope of FSAP Stress Testing
7a. Presentation Templates of Outputs (hypothetical singe-period test)
7b. Presentation Templates of Outputs (hypothetical multiple-period test)
Boxes
1. General Macro-Financial and Systemic Risk Implications for Insurance
2. The Taxonomy of Stress Testing Approaches
3. Recessionary Scenarios in the Insurance Sector
4. Assessing the Impact of Low Interest Rates on Insurance Activities
5. Liquidity Risk in Insurance
6. Examples of Supervisory Approaches of Insurance Stress Testing
7. Case Study: Belgium Insurance Stress Test for the FSAP
8. National and IMF Stress Testing for Non-life (Re) insurance—A Case Study of Bermuda
Glossary
| ALM |
Asset-Liability Matching |
| BaFin |
Bundesanstalt für Finanzdienstleistungsaufsicht |
| BCR |
Basic Capital Requirement |
| BMA |
Bermuda Monetary Authority |
| BSCR |
Bermuda Solvency Capital Requirement |
| BU |
Bottom-up |
| CCAR |
Comprehensive Capital Analysis and Review |
| CDS |
Credit Default Swap |
| CEBS |
Committee of European Banking Supervisors |
| CEIOPS |
Committee of European Insurance and Occupational Pensions Supervisors |
| CF |
Cash Flow |
| CNB |
Czech National Bank |
| CTE |
Conditional Tail Expectation |
| DC |
Defined Contribution |
| DFA |
Dynamic Financial Analysis |
| EBA |
European Banking Authority |
| ECB |
European Central Bank |
| ECR |
Enhanced Capital Requirement |
| EIOPA |
European Insurance and Occupational Pensions Authority |
| EU |
European Union |
| EUR |
Euro |
| FINMA |
Eidgenössische Finanzmarktaufsicht |
| FSAP |
Financial Sector Assessment Program |
| FSB |
Financial Stability Board |
| FSSA |
Financial System Stability Assessment |
| FX |
Foreign Exchange |
| GDP |
Gross Domestic Product |
| GIC |
Guaranteed Investment Contract |
| G-SII |
Global Systemically Important Insurance Company |
| IAIS |
International Association of Insurance Supervisors |
| ICP |
Insurance Core Principle |
| ICS |
Insurance Capital Standard |
| IMF |
International Monetary Fund |
| IOPS |
International Organisation of Pension Supervisors |
| JFSA |
Financial Services Agency of Japan |
| MAS |
Monetary Authority of Singapore |
| MCCSR |
Minimum Continuing Capital and Surplus Requirements |
| MCEV |
Market-consistent Embedded Value |
| MCR |
Minimum Capital Requirement |
| MPS |
Macroprudential Policy and Surveillance |
| MSM |
Minimum Solvency Margin |
| NAIC |
National Association of Insurance Commissioners |
| NBB |
National Bank of Belgium |
| NTNI |
Non-traditional, non-insurance |
| NWP |
Net Written Premiums |
| OFC |
Offshore Financial Center |
| OSFI |
Office of the Superintendent of Financial Institutions |
| OTC |
Over-the-counter |
| P&C |
Property and Casualty Insurance |
| PCR |
Prescribed Capital Requirement |
| PML |
Probable Maximum Loss |
| PRA |
Prudential Regulatory Authority |
| QIS |
Quantitative Impact Study |
| RBC |
Risk-based Capital |
| RoA |
Return on Assets |
| RoE |
Return on Equity |
| SCAP |
Supervisory Capital Assessment Program |
| SCR |
Solvency Capital Requirement |
| SMR |
Solvency Margin Ratio |
| SST |
Swiss Solvency Test |
| STeM |
Stress Testing Matrix |
| TD |
Top-down |
| TN |
Technical Note |
| TVaR |
Tail-Value-at-Risk |
| UK |
United Kingdom |
| USD |
U.S. Dollar |
| VaR |
Value-at-Risk |