Transcription of OIC RBC 2
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OIC RBC 2
2014 Towers Watson. All rights reserved. oic rbc 2 Stage 3 Parameters and overview of market testing (Non-Life Insurance) Date: 4 April 2014 i 2014 Towers Watson. All rights reserved. Table of Contents Preface .. iii Section 1 : Introduction to market testing .. 1 Objectives and scope .. 1 Submission requirements .. 2 Materiality .. 2 Questions and answers .. 2 Section 2 : Framework changes to be tested .. 3 Overview of framework .. 3 Summary of changes .. 5 Details of changes (Life and Non-life insurance) .. 6 Section 3 : Parameters for testing .. 13 Market risk .. 13 Credit risk .. 16 Asset correlation .. 21 Non-Life insurance risk .. 22 Operational risk .. 24 Section 4 : Market testing template .. 25 Overview .. 25 Input process .. 26 Details of RBC 2 additional input .. 31 Appendix A : Guidance notes for asset risk charge 38 Market risk .. 38 Credit risk .. 40 Derivatives .. 40 Appendix B : Guidance notes for Long Term insurance calculations.
© 2014 Towers Watson. All rights reserved. OIC RBC 2 Stage 3 – Parameters and overview of market testing (Non-Life Insurance) Date: 4 April 2014
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