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The RiskIntegrity Capital Aggregator enables insurers to calculate one-year Value-at-Risk (VaR) risk-based capital, using a Monte Carlo approach to perform analysis including capital allocation by product and risk category.
- Generate a wide range of solvency and risk-based metrics in a controlled environment to feed into business and regulatory management information and support risk-based decision making.
- Analytics include smoothed and unsmoothed VaR metrics, capital attribution and diversification analysis, capital distributions, and risk factor analysis with standard analytics and charting.
- Support a broad range of what-if analysis including stress testing and using deterministic scenarios such as the impact of market stress, alternative portfolio analysis, and asset allocation.
- Leverage a high-performance Monte Carlo engine that uses asset/liability proxy models calibrated via the market-leading RiskIntegrity Proxy Generator.
- Generate one-year VaR risk scenarios via the Risk Scenario Generator module for the simulation of market and non-market risks.
- Support an insurer’s internal model group and solo solvency capital requirement (SCR) and assess economic capital.
- Support partial internal model calculations with the RiskIntegrity Standard Formula module.
- Leverage an enterprise risk platform that meets the control and governance requirements of today’s regulatory regimes.
- Provides configurable, out-of-the box flexibility and reduces overall implementation costs.
- Use an aggregation framework that calculates multiple capital and loss metrics and supports drill-down analysis at different levels of granularity.
Moody’s Analytics insurance economic capital solution provides critical insights that help evaluate solvency positions and risk-based decision making.
Moody’s Analytics insurance regulatory capital solutions help insurers comply with Solvency II and other similar regulatory regimes.
The Moody’s Analytics solution supports the solvency metrics and the associated reporting from both a group and solo perspective for Solvency II compliance.