Main Contents
Part I. EC Time Horizon Selections
Part II. The Objective of EC Reporting
Part III. Procyclical or Countercyclical Capital
Part IV. Competitive Advantage / Disadvantage
Part V. ESG
Part I. EC Time Horizon Selections
n One year mark to market
One year real world scenario and one-year end risk neutral valuation
n Liability Run-off approach
Whole policy duration real world scenarios
n Business cycle or other choices
Part II. The Objective of EC Reporting
n Definition: EC is an internal calculation of capital required,
based on the company’s view of risk, with calculations based
on economic principals.
n Broadly speaking, EC is an amount of capital required
calculated to give a specified level of security to policyholders
in relation to the payment of their policy benefits.
Part II. The Objective of EC Reporting
n What is the senior manager’s most wanted in EC reporting?
What will or what if?
Risk identification, evaluation?
Management actions?
n What kind of management actions can be tied in the model?
Trading assets/liability?
Changing of Asset allocation strategy?
launching new products?
financing?
n Even in the one-year EC framework, some deterministic
adverse scenario analysis to examine longer term risks and
their management is needed.
Part III. Procyclical or Countercyclical Capital
n Against the Grain: the Wisdom of Countercyclical Capital,
Anson J. Glacy, Jr.
“In fact, some have criticized Basel II from the beginning for
enshrining pro-cyclical capital estimation method. They pointed
out that it establishes VaR-like capital levels by incorporating
market-implied volatilities, requiring too little capital during
economic upswings and too much capital during recessions.
Instead of restraining lending during exuberant times, false
bubbles are created that end in tears”
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