Stress Testing & What-If-Scenario analysis for Solvency II (Pillar II)
Main Features
Replicate investment holdings, insurance production and counterparty exposures
- Replicate original holdings and create hypothetical portfolios with adjusted synthesis
- Execute new SCR/MCR calculations and analyse/compare what-if portfolios with the original synthesis
- Identify risk profiles of hypothetical portfolios
Solvency II parameters
An analytical data mart is provided by RiskValue offering users capabilities to:
- Construct easily several alternative Solvency II parameters scenarios
- Calculate new SCR/MCR figures and compare the results with those from the original parameter set
Market data scenarios
- Design user defined scenarios with absolute or relative changes to specific instruments, risk factors and asset classes
- Monitor the evolution of each scenario in the future (multiple time steps)
- Extract detailed information and compare stress results of sub-scenarios based on multiple severity levels of each scenario