Solvency & Minimum Capital Requirements (Pillar I & III)

Solvency module of RiskValue for insurance companies is a robust software tool which is built based on a best-of-breed set of functional specifications covering European regulation of Solvency II across its Pillars. The module provides insurance companies with all the necessary capabilities, in order to calculate the capital requirements based on Solvency II and generate regulatory and other risk and business reports.

Main Features

Management of Solvency Capital Requirement (SCR) and Minimum Capital Requirement (MCR)

  • RiskValue covers the quantitative calculations for Solvency and Minimum Capital Requirements under Pillar I. Intermediate calculations for the various sub-modules of the SCR are performed in an efficient and fully auditable way. In particular:
    • Market risk is capturing the volatility of market prices of the insurance company's financial instruments measuring the impact of movement in the level of financial variables such stock, bond and mutual fund prices, interest and exhange rates.
    • Counterparty default risk is assesing the possible losses due to unexpected default, or deterioration in the credit standing, of the counetrparties and debtors of insurance companies.
    • Underwriting risk is capturing the Life, Non-Life and Health risk exposures both in terms of the perils covered as well as the process folloed in conducting the business.
    • Operational risk is capturing the loss arising from inadequate or failed internal processes, or from personnel and system failures, or from external events.
  • All Pillar I calculation modules are independent and can be run separetely providing flexibility.
  • Pillar I calculations come with analytical audit trailing covering related Pillar II requirements and internal needs for assurance of high quality processing.
  • In order to cover the aforementioned Pillar I calculations an analytical data mart with a predefined data model is populated in order to store data used by all calculations, allowing any regulatory or other report to be generated through RiskValue advanced report generator.
  • An easy to use mechanism for reconciliation is provided for harmonization of balance-sheet figures with internal accounting systems.

Multi-company (Group), Multi-jurisdictional, and Multi-currency

RiskValue core functionality allows for full regulatory coverage of an Insurance Group that reports to different regulators and/or the consolidated group against different local regulatory requirements.

  • RiskValue can support groups of insurance companies, and all the requirements imposed at group level by the Solvency II framework throughout all three Pillars.
  • The system may be parametrized in order to comply with one or more local regulators, thus covering the need to provide reports to regulators for different countries.
  • RiskValue receives data in their original currency and produces reports in any selected regulatory currency. This also allows for straightforward calculation of the risk stemming from fx rate fluctuations.

Reporting capabilities

The system provides a powerful report generating functionality that allows the user to create and distribute any report that might be required for internal, Pillar III or other regulatory purposes. More specifically, any report relating to Pillar I or Pillar III regulatory requirements may be defined and produced upon request. Furthermore, users can easily design and implement any report that may be generated for any other internal business purpose on either an ad hoc or a scheduled basis. Finally, an automatic reporting (direct extraction of XBRL) to local regulators according to their guidelines.