Full service approach by providing final FINMA SST report (asset-side) to insurance companies as well as all relevant underlying data on single holdings level.
Supporting insurance companies in reporting of assets under SST and KVG-SST. Our services include:
- Calculation of market risk on holdings level (Delta, Gamma)
- Scenario calculation
- Credit risk mapping
- Aggregation including distribution of insurance risk
- Fund look-through analysis
Ongoing asset monitoring according to investment guideline definitions in Circular 2016/05. Including counterparty risk monitoring within funds (look-through analysis).
FINMA “Circular 2016/5 Investment Guidelines – Insurers” requires the coverage ratio of tied assets to be above 100% with various limits on counterparty, asset class and single holding exposures. We are supporting Swiss insurance companies in the ongoing evaluation of the coverage ratio of tied assets as well as related look-through analysis.
Our services include:
- Support on ongoing monitoring according to Rz 112
- Evaluation of relevant limits and calculation of Tied Assets Coverage
- Fund look-through analysis and counterparty-risk exposure aggregation
- Final report on Tied Asset Coverage and presentation to management
Economic ALM modelling including regulatory constraints from SST. Evaluation of risk / return / regulatory efficient allocations.
SST Modelling, Optimisation and Consulting
SolvencyAnalytics has developed an object oriented SST framework, that allows for modelling the SST Delta-Gamma model and analysing the regulatory impact of investment allocations.
We are supporting insurance companies in following aspects:
- Evaluation of regulatory efficiency of their investments
- Risk / return / SST optimisation of assets with various investment constraints
- Consulting management on risk / return and regulatory challenges
Supporting executives, asset and risk management with custom IT tools and quantitative models.
We have developed an SST software that allows for portfolio monitoring and transaction analysis under SST.
- FINMA SST Standard Market and Credit Model
- Ongoing SST ratio calculation
- Transaction simulation and analysis
- Switch matrix and more
- We coordinate IT projects (system integration and customisation)