Nick Jessop leads a team of UK-based quantitative analysts, economists, and financial engineers focused on researching risk management solutions. He recently worked on research to help clients decode the impact, significance, and use of discount curves in the IFRS 17 reporting process. Nick’s experience includes developing financial stochastic models and calibration methods, as well as research experience in the financial and scientific fields.
International Financial Reporting Standard (IFRS) 17 Insurance Contracts: The Moody’s Analytics suite of software solutions, models, content, and services helps support the new requirements of IFRS 17 Insurance Contracts.
Economic Scenarios: Moody's Analytics provides internally and globally consistent economic, regulatory, and custom scenarios.
Regulatory Capital : Moody’s Analytics insurance regulatory capital solutions help insurers comply with Solvency II and other similar regulatory regimes.
Scenario Generation: Mathematical model simulating possible paths of economic and financial market variables.
Regulatory Reporting: EU: Submission of raw information and summary data to satisfy regulatory requirements.
Regulatory Capital: Amount of capital financial institutions must hold as required by financial regulators.
Developing credit and illiquidity assumptions for IFRS 17 discounting using a cost of capital approach
Incorporating negative interest rates and absolute volatilities into market-consistent yield curve models and calibrations
In his IFRS17 Insight whitepaper, Nick Jessop – Senior Director Research, decodes the impact, significance and use of discount curves in the IFRS 17 reporting process.
This research paper discusses the credit risk premium adjustment required for constructing discount rates specified by the IFRS 17 accounting rules. Calculating the credit risk premium is a key requirement in the ‘top down' yield curve method. It may also be a useful input in computing (or benchmarking) the illiquidity premium for ‘bottom up' discount rate construction.
In this paper, we look at the changes that have occurred in interest rate markets since the financial crisis. We consider how insurers can address the challenge of low and (more recently) negative yield curves as central banks have responded to challenging economic conditions with a range of unconventional monetary policies.