SimCorp Dimension: Solvency 2 trend
Finally, a 3d part of innovation trends in Risk & Forecasting dedicated modules of SimCorp Dimension, presented during #IUCM2022
đź‘“ Last week we looked at Axioma multifactor risk model innovation within Dimension (that post could be found on our website)
Today we’ll focus on Solvency II regulation solution.
🛡️ 4. Solvency regulation (incl. other regulations possibilities)
Solvency 2 regulation is considered to be a classics nowadays for Insurance companies. That regulation has evolved a lot since its first version. Dictated by the market complexity, which constantly increases, the market regulation explicitly aims to ensure that the capital requirements are under control and that any issue in that area are signalized and solved on time.
The fact that it is a classics, creates an illusion that it should be not so difficult to build and maintain Solvency 2 model in-house. However, the ones from you who did it, definitely remember all the challenges with data management, analytics, aggregations, valuation and time –consuming process. In fact, the higher a variety of instruments you have in the portfolio – the more complicated it will become. Not to be forgotten the funds which are obliged to disclose the Look Through data.
Yes, it is possible to build Solvency 2 in Portfolio Calculations. However, would you manage to cover all 3 “Solvency 2” pillars via only Portfolio Calculation and formulas? For that reason, SimCorp Dimension got a Strategy Manager module, which provides you with already available Solvency 2 model. On top of it, the investment forecasting is also possible to do in the same module.
The things to remember here is the expertise. Even though Strategy Manager might look like a “single box” solution for all your Solvency 2 requirements and pillars, it still requires a solid expertise in order to set it up optimally, and explain the outcomes from the model appropriately.
Delivered: enhancements for Yield Curves offset, concentration risk, Accrued Interest for SSD instrument, Solvency 2 analytics forecasting (including fund decomposition)
Expected: Mod. Duration YTM in spread risk
đź” Next time we’ll discuss the final element in the “Risk & Forecasting innovations trends within SimCorp Dimension system” topic:
5. Investment forecasting
đź’ˇ In the meanwhile, if you have any questions – don’t hesitate to contact our team Unitso (info@unitso.com) – we’ll be glad to support you with our Dimension expertise.