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Macroprudential solvency stress testing of the insurance sector /
"Over the last decade, stress testing has become a central aspect of the Fund's bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2014.
©2014 |
| Colección: | IMF working paper ;
WP/14/133. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Contents; Glossary; I. Introduction; 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; II. Overview and Framework; A. Macroprudential Stress Testing for Insurance; B. Differences between Banks and Insurance Companies and Their Implications for Stress Testing; 3. Stylized Insurance Balance Sheet and Solvency Control Levels; Boxes; 1. General Macro-Financial and Systemic Risk Implications for Insurance; III. Process and Methodologies; 4. Stress Testing Process.
- 2. The Taxonomy of Stress Testing ApproachesA. Object of Analysis; B. Determination of Scope; C. Methodological Framework and Data Quality; D. Valuation and Capital Resources; 5a. Overview of Solvency Regimes-Risk Measurement; 5b. Overview of Solvency Regimes-Valuation Standards; E. Scenario Design and Other Assumptions; 6. Elements of Risk Assessment and Scope of FSAP Stress Testing; 3. Recessionary Scenarios in the Insurance Sector; 4. Assessing the Impact of Low Interest Rates on Insurance Activities; F. Risk Factors and Aggregation Approaches; 5. Liquidity Risk in Insurance.
- 6. Examples of Supervisory Approaches of Insurance Stress TestingG. Output Measures; 7a. Presentation Templates of Outputs (hypothetical singe-period test); 7b. Presentation Templates of Outputs (hypothetical multiple-period test); H. Validation of Results; 7. Case Study: Belgium Insurance Stress Test for the FSAP; I. Communicating the Outcome of Stress Tests; Tables; 1. Overview of Possible Validation Checks; 2. Summary of Key Assumptions in IMF Stress Testing of Insurance Sectors; IV. Discussion and Conclusion; References; Appendix I-Tables; Appendix II--Additional Background.