Alignment of regulatory requirements

|Alignment of regulatory requirements

Why ‘expected future profits’ must be treated as tier 1 capital

The role of ‘expected future profits’ in determining a firm’s own funds is attracting much discussion, with suggestions that they should be excluded from tier 1 capital. We believe this is at least in part due to a misunderstanding of their nature – even the term ‘expected future profits’ is misleading and we prefer to refer to them as in-force cashflows.

Why ‘expected future profits’ must be treated as tier 1 capital 2010-04-20T10:10:19+00:00

QIS 5 Technical Specification Risk-free interest rates

We would like to take the opportunity to specify certain aspects of the risk-free interest rate term structure for QIS 5. This technical paper is set out in four sections to cover the aspects of the risk-free interest rate term structure as asked from the European Insurance CFO Forum and CRO Forum.

QIS 5 Technical Specification Risk-free interest rates 2017-05-10T20:05:29+00:00

CRO Forum – CP80

The CRO Forum welcomes the opportunity to comment this consultation paper on pre-application process for Internal Model. The timing for this paper is good as many supervisors are already starting a pre-application process and it will promote necessary harmonization. This paper is of high quality and the CRO Forum strongly supports CEIOPS in aiming for one unique pre-application process led by the lead/group supervisor in cooperation with the other supervisors concerned.

CRO Forum – CP80 2010-03-16T10:29:38+00:00

Market Risk Calibration March 2010

The CRO Forum welcomes the opportunity to contribute to the calibration of the standard formula through this paper on market risks. This document is a follow-up to our position papers published respectively last May: ‘Calibration Principles for the Solvency II Standard Formula”; and last December: ‘Calibration recommendation for the correlations in the Solvency II standard formula’.

Market Risk Calibration March 2010 2010-03-12T12:34:59+00:00

CRO Forum responses Wave 3 Consultation

There is need for an appropriate balance between controlling risk, ensuring practicability for issuers of these products and also respecting the principle of “freedom of investment” (priority: medium) The advice in this paper should be balanced between 2 important Principles in the Directive: “Prudent Person” (Art 132) and also “Freedom of Investment” (Art 133).

CRO Forum responses Wave 3 Consultation 2009-12-10T10:19:49+00:00

Solvency II Calibration

This document is a follow-up to our position paper published last May: ‘Calibration Principles for the Solvency II Standard Formula”. The paper provides our recommendation on the methodology to calibrate market risk correlation factors as well as a counterproposal for the correlation matrix as suggested by CEIOPS in its Consultation Paper n°74. The final chapter of this document also briefly addresses the correlations for non-market risk.

Solvency II Calibration 2017-05-10T20:05:29+00:00

Press release on Solvency II

The Forum strongly believes the directive represents an important step toward implementing an advanced supervisory and solvency framework which will help strengthen the European insurance industry. The Forum now urges the European Commission to introduce clear and effective implementing measures that will deliver the directive's basic principles.

Press release on Solvency II 2009-06-11T07:12:53+00:00

Calibration Principles

The Solvency II standard formula to calculate a company's Solvency Capital Requirement should present a balancing act between various targets such as simplicity, risk sensitivity and robustness. The CRO Forum believes the main principles of the current standard formula, namely to asses the sensitivity with respect to all material risk factors and to aggregate capital requirements allowing for diversification, are appropriate for this purpose and moreover set incentives towards risk mitigation strategies.

Calibration Principles 2009-05-01T07:31:04+00:00

Addressing the pro-cyclical nature of Solvency II

Risk capital charges in the Solvency II context reflect the 99.5% quantile on a 1-year horizon. The consistent application of risk capital charges in Solvency II to all sources of risk is imperative. Inconsistent application of risk charges creates perverse incentives for certain asset classes or insurance products.

Addressing the pro-cyclical nature of Solvency II 2008-11-25T08:06:17+00:00

Public risk discl. under Solvency II

as a basis for discussion on the implementing measures for articles 50-55 of the EU Solvency II Draft Directive. The CRO Forum advocates a principles-based approach: Section B of this paper establishes five main principles for public risk disclosure which should be adhered to by all undertakings.

Public risk discl. under Solvency II 2017-05-10T20:05:29+00:00