Stress Testing & What-If-Scenario analysis for Solvency II (Pillar II)

The Pillar II functionality of RiskValue helps an insurance firm to increase the accuracy of its risk assessment, to be hedged more efficiently against market conditions, and also to improve its business performance by taking the necessary steps and actions to gain a competitive advantage over its competitors. System allows to assess the risk profile of individual risk factors, by stressing various elements of a balance sheet according to Pillar II requirements. This allows detecting early warning signals, as well as overexposure to high risk factors.

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