Stress testing in a SII environment

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Useful background material INTERNATIONAL MONETARY FUND 34
Useful background material Data diagnostics Kwon W.J., Wolfrom L. (2016): Analytical tools for the insurance market and macro-prudential surveillance, in OECD Journal: Financial Market Trends, Vol. 2016/1 Insurance stress testing • Jobst, A., N. Sugimoto, T. Broszeit (2014), Macroprudential solvency stress testing of the insurance sector, IMF WP/14/133. • EIOPA website covers useful material on European stress tests, including, stress specifications, reporting templates and final reports. • Surveying responses to stress by banks and insurers, ESRB Occasional Paper No. 15. INTERNATIONAL MONETARY FUND 35
Page 1 and 2: Stress testing in a Solvency II env
Page 3 and 4: Stress test - motivation and defini
Page 5 and 6: Motivation • Stress tests are a u
Page 7 and 8: Type of stress test Stress testing
Page 9 and 10: Stress testing as part of a broader
Page 11 and 12: Surveillance cycle - example Vulner
Page 13 and 14: Indicators for economic, monetary,
Page 15 and 16: Solvency, performance, and other se
Page 17 and 18: How to use these data • The data
Page 19 and 20: Questions • What are the main ste
Page 21 and 22: Identification of stresses (I) •
Page 23 and 24: Specification of specific scenarios
Page 29 and 30: Final output The impact of the stre
Page 31 and 32: Communication of results • Based
Page 33: Important to remember A stress test

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