Solvency II: The Market Risk Module Of The Standard Formula

The Risk Management Behind the Regulatory Capital in Insurance Undertakings

What you'll learn
What is the 'Solvency Capital Requirement' (SCR) of an insurance company.
How does the 'Standard Formula' work to calculate the SCR.
What does the Solvency II regulatory framework foreseen about regulatory capitals.
How to calculate the capital requirement for each submodule of the 'Market Risk' module.

Requirements
No experience needed. You will learn everything you need to know.

Description
What is this course about? This series of lectures deals with the calculation of regulatory capital for insurance undertakings, under the Solvency II regulatory framework, through the so-called ‘Standard Formula’. The latter is a standardized average model for calculating regulatory capitals. Most insurance companies, under the Solvency II regime, use that. In contrast, insurance companies belonging to a group tend to develop ‘internal models’, to better capture the need for capital, according to their risk profile.The Standard Formula consists of 6 modules that lead to 27 submodules. This course includes a comprehensive presentation for the ‘Market Risk Module’, which consists of 6 submodules: The interest rate risk submodule, the equity risk submodule, the credit spread risk submodule, the market concentrations risk submodule, the currency risk submodule and the property risk submodule.To whom is this course for? The course is mainly addressed to people already working in the insurance industry (for example, insurance business executives, risk managers and external auditors) who would like to obtain a clear and comprehensive view of the Regulation regarding regulatory capitals. College students will find it interesting too, as it is a great introduction to the Regulation, which constitutes essential knowledge for someone to start their career in the insurance industry.Why choose this course? The calculation of regulatory capital for insurance undertakings is based on a legal text named ‘the Delegated Regulation 2015/35’. This text contains all the relevant information, but in a rigid language. Very often, things are mixed, oddly placed in various locations of the text, making comprehensive understanding difficult. This course places things in the right position by using a clear, simple, but not simple-minded presentation of the topic. Last but not least: In every section a simple example is used to let you eventually understand how things work, while multiple-choice tests and practice assignments follow. At the end of the course, you will be able to not only understand and participate in discussions within your business environment about ‘regulatory capitals’, but also set up Excel files and participate in calculations, upgrading by that way your professional reputation.