- The origins of Solvency II. The three pillar system.
- Legislation: Directive, Regulation and transposition to national legislation
- EIOPA documentation: Opinions, Guidelines, Consultations
(Weeks 1, 13)
2. Valuation: Assets and Liabilities
- The foundations of financial valuation inside Solvency II: Non arbitrage vs Diversification
- Technical Provisions
- Risk Margin
- Market Value Balance Sheet
3. Discount rates
- Illiquidity premium.
- Long term guaranteed measures. Volatility and Matching adjustment
- Extrapolation of the Interest Rate term structure
4. Solvency II and Economic Capital. VaR and TVar
(Week 6, 9)
5. Capital Requirement. SCR and MCR
- Risk Factors embedded in the insurance products. Market Risk vs Technical insurance risk
- Standard Formula. Modules and submodules.
- Internal models vs Standard Formula
(Weeks 6, 10, 11, 12, 13)
6. Pillar II. Own Risk and Solvency Assessment