- The original key objective was to consider the need for a business to verify that the drivers of movements in reported financial results are consistent with the risk categories recognised by the risk management function. The working party was developing a method of analysing the financial performance of an insurance company in terms of the risks identified by the risk management function. The risk impacts are all quantified simultaneously, rather than in a series of steps as with a traditional analysis of surplus
- The focus then expanded In recognition of the fact that the techniques it has developed are applicable to all reporting metrics, not only the economic capital metrics it has focused on to date. The techniques are also applicable to provide an efficient means of calculating instantaneous stresses, as used in capital calculations, as well as to profit and loss attribution. The techniques can therefore be used to provide a common platform into which any company can import its data to produce financial reporting information that is consistent across the industry. Therefore, it potentially has a role to play in reducing the effort involved in stress and scenario testing
- Develop an Excel tool into which any firm can import its asset data and liability cash flows to calculate, assess sensitivities of and analyse changes in the matching adjustment and the associated asset and liability values. The analysis of change, or profit and loss attribution, will quantify the impacts of all the risk factors simultaneously, rather than sequentially as with a traditional analysis of surplus
- Presentation at Knowledge Sharing Scotland event, 26 May 2016
- Presentation and accompanying notes - Momentum Conference 2015
- Presentation at the Life Conference, November 2015 - "Risk-Based Profit and Loss Attribution for Annuities"
- Notes to accompany Risk-Based Profit and Loss Attribution for Annuities
- Presentation at the Risk & Investment Conference 2015
- 9 November 2017
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