永明金融的风险管理与实践.pptVIP

经济资本: 全资产负债表需求 (TBSR)是指公司拥有的所有资产可以在一年之内应付极端情形的发生，使得公司在年底时仍有足够的资产应对所有的债务需求。 在CTE99.9计算TBSR TBSR = MVA0 + 现值（在时点1的资产差额） 资产 – 市值 (MVA) 负债 – 终值 (TVL) 是指对在一年之内可以应对所有剩余债务的资产的估值。 一年的时间周期 即终值中用于应对未来不可规避风险的部分(MoA) 。 全面考虑风险间的关联系数。 风险资本 最低资本需求MCCSR和 不利偏差准备金 Pfads 经济资本:以风险类别分类 信用风险 权益市场波动 利率和利差 外汇及其他 死亡率和长寿因素 发病率 退保和保户因素 * * * Key Risk Process Background: Foundational element of SLF Risk Management Framework. Basis for external disclosure of risk Risk identification workshops are conducted throughout SLF’s Business Groups. Risks are assessed, and response plans developed and reviewed with executive management reflecting: Probability and severity (financial and non-financial impacts); Key risk metrics/indicators; Accountability; Key initiatives (response plans) to manage risks * * * * * * Comparison to 2008’s Chart: General trend of risks moving from middle circle to the right circle as severity rating of risks was reassessed upwards. Definitions Risk Severity is assessed within 3 discrete ranges of probability High / Occasional - Events that could occur with a probability of 21-50%, or about 1 time in every 3 independent time periods Medium / Improbable - Events that would occur with a probability of 6-20%, or about 1 time in every 10 independent time periods Low / Remote - Events that would occur with a probability of 5%, or about 1 time in 30 independent time periods Severity Categories Earnings Impact: NEGLIGIBLE - Less than or equal to $ 5 mm MINOR - Between $ 5 mm to $ 20 mm MODERATE - Between $ 20 mm to $ 100 mm MAJOR - Between $ 100 mm to $ 500 mm CATASTROPHIC - Greater than $ 500 mm * * * * * * * Q3 Pandemic + Reinsurer Default Scenario EaR was 1,754 Difference is due to: 300M increase in ceded reserve from Munich Re 100M increase in riders from Cdn Ind Life. (Riders were not included in the Q3 model) * * * “Panic” refers to a “run-on-the-bank” scenario a “drop-dead” situation similar to that experienced by Confederation Life company experiences imme