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    The use of carrier approximation methods for projected capital metrics with an application to the IFRS 17 risk adjustment.

    In this paper we explore the use of the carrier approximation for the multi-year projection of risk and capital metrics. Through an annuity book run-off case study we outline the key factors influencing the performance of the carrier method when applied to the projected IFRS 17 risk adjustment and the projected Solvency II solvency capital ratio (SCR).

    Image of possible yield curve and equity evolution

    Fast Projection of Reserve and Capital Requirements with Proxy Functions

    An emerging business requirement for North American insurers is the ability to project forward stochastic reserve and capital requirements under various planning scenarios to a specific future date. In this paper we consider applying proxy functions to this task, using function fitting techniques described in our previous research paper Fitting Proxy Functions for Conditional Tail Expectation: Comparison of Methods.

    Businessmen and woman standing together by railing conversing

    Insight, IFRS 17, and Innovative Technologies - Drivers of Change in the Insurance Industry

    Performance optimization through business insight, dealing with IFRS 17 in a post-Solvency II world, and the challenges associated with stress testing for insurance firms in the US. These were the focus areas for Moody's Analytics at this year's Moody's Insurance Summits in London and New York.

    Proxy and Validation vs. yield curve change risk factor

    Fitting Proxy Functions for Conditional Tail Expectation: Comparison of Methods

    This paper details alternative methods for fitting proxy functions to CTE, employing quantile regression in combination with OLS among other techniques. We compare methods according to quality of fit for an example portfolio of variable annuities.

     Merton Model Schematic

    A Cost of Capital Approach to Estimating Credit Risk Premia

    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.

    Abstract lines on architecture

    Dynamic Model-Building: A Proposed Variable Selection Algorithm

    In this article, we propose an innovative algorithm that is well suited to building dynamic models for credit and market risk metrics, consistent with regulatory requirements around stress testing, forecasting, and IFRS 9.

    Solvency Ratio under various asset allocations, in scenario where credit spreads rise

    Solvency In Sight - New Tools for Understanding the Impact of Investment Decisions on Capital

    In this paper, we have considered the use of proxy models as a way of overcoming some of the operational and computational challenges associated with measuring future solvency under different market conditions and ALM assumptions.

    Concept of Growth created from three glasses with increasing  levels of water.

    The Effect of Ride-Sharing on the Auto Industry

    In this article, we consider some possible long-term ramifications of ride-sharing for the broader auto indust

    Figre 10: Diversification benefit (aggregate compared to sum of individual capital requirements)

    Proxy Methods for Run-off CTE Capital Projection: A Life Insurance Case Study

    In this paper, we show a practical application to forecasting capital requirements for real portfolios of participating whole life and annuity business, carried out in a joint research project between Moody's Analytics and New York Life Insurance Company.

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    Quantitative Research Webinar Series: Multi-Period Credit Risk and Capital Planning with Proxy Functions

    Financial institutions are seeking ways to gain a better understanding of their credit portfolios' risk dynamics, allowing them to foresee and to prepare for potential increases in capital requirements resulting from economic shocks.

    chart: an example satellite model of sovereign CDS spreads

    Stressed Scenarios and Linkages to Market Risk Instruments

    This paper demonstrates a two-step methodology for forecasting and stress-testing market risk instruments with explicit links to stressed macro scenarios.

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    Multi-Period Stochastic Scenario Generation

    This article describes how to build consistent projections for standard credit risk metrics and mark-to-market parameters simultaneously within a single, unified environment: stochastic dynamic macro models.