ALM and Insurance Management

Fundamental model for measuring risk capital under SII (basic understanding of the terms SCR, Minimum Capital Requirement (MCR), Own Funds (OF), Net Asset Value (NAV), Delta NAV, Best Estimate, Risk Margin, Economic Balance Sheet (EBS), factor based module, scenario based module, Standard formula, (partial) internal model ((P)IM), Undertaking Specific Parameters (USP), Solvency II LoBs, concept of correlation and diversification between risks; Basic understanding of legal framework, internal governance (Fit & Proper, Prudent Person Principle (PPP), Risk Management System) and ORSA (Own Risk and Solvency Assessment), Solvency and Financial Condition Report (SFCR), Regular Solvency Report (RSR), Quantitative Reporting Templates (QRTs), Guidelines (GL), ITS (Implementing Technical Standards), EIOPA (European Insurance and Occupational Pension Authority), Lamfalussy process, Comply or Explain, Supervisory Review Process (SRP); Simulation of ORSA projections (understanding the interdependence of positions within the EBS and effects of the SCR of different external events and internal decisions)

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

Directive 2009/138/EC of the European Parliament and the Council (Solvency II Directive, Level I); Commission Delegated Regulation (EU) 2015/35 (Delegated Acts, Level II); Guidelines and Implementing technical standards. Available at: https://eiopa.europa.eu/regulation-supervision/insurance/solvency-ii (Level III)

Lern- und Lehrmethode

Interactive teaching (lecture and discussion), calculations examples using Excel, a quiz for self-assessment, and a game on the own risk and solvency assessment (ORSA)

Prüfungsmethode

The course assessment consists of 30 points for an interactive ORSA game during the course and 70 points for a written final exam.

Voraussetzungen laut Lehrplan

Courses of the 2nd semester

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

3.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2023

Semester in dem die Lehrveranstaltung angeboten wird

3 WS

Incoming

Lernergebnisse der Lehrveranstaltung

After the successful completion of the course, students are able to describe the general framework of the pan European Solvency II regime. They can categorize the requirements in the three pillars of the framework and differentiate between their aims. Not only will they be able to search the four levels of the Solvency II regime to answer relating questions, but they also can highlight the required governance structure and break down quantitative aspects of risk assessment. They are able to explain the idea behind the calculation of the Solvency Capital Requirement (SCR) and to differentiate between the factor and scenario-based approach for calculating risk modules. Furthermore, they are able to illustrate the reasoning of why the SCR is compared to the eligible own funds for calculating the solvency ratio, which is the regulatory key figure under Solvency II.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-26