Stress testing in a SII environment

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Different forms of stress tests By topic: • Solvency stress tests • Liquidity stress tests • Macro stress tests By type: • Single factor/sensitivity analysis • Reverse stress testing • Scenario analysis • Climate stress tests Execution of stress test: • Bottom up: the supervisor defines the scenarios and requests the insurer to run the stress test. • Top-down: Stress tests are run by the supervisor based on regulatory return data or specific data requests from insurers. INTERNATIONAL MONETARY FUND 6
Type of stress test Stress testing Single factor/ sensitivity analysis Assess effect of a large move in one risk factor Reverse stress test What scenario makes the business unviable Multi-factor/scenario analysis Historic or hypothetical scenarios, consideration of dependencies among risk factors INTERNATIONAL MONETARY FUND 7
Page 1 and 2: Stress testing in a Solvency II env
Page 3 and 4: Stress test - motivation and defini
Page 5: Motivation • Stress tests are a u
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 and 34: Important to remember A stress test
Page 35: Useful background material Data dia

Stress testing in a SII environment

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