Asset Liability Management and Investment Seminar (Taipei) May Session 5: Setting an Investment Risk Appetite in Asian Companies.
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1 Asset Liability Management and Investment Seminar (Taipei) May 2012 Session 5: Setting an Investment Risk Appetite in Asian Companies Robert Chen
2 Setting an investment risk appetite in Asian Companies Robert Chen
3 Risks faced by a life insurer EIOPA Solvency II CIRC RM Guidelines Market risk Default risk Market risk Default risk Health risk Life risk Insurance risk Business risk Non-life risk Intangible asset risk Strategic risk Reputational risk Operational risk Operational risk Liquidity risk 2 2
4 Risks faced by a life insurer Life company s business is about taking on risks Which risks to take on? How much of each risk to take? How to take those risks? Simple risk aversion will not be optimal Take the right amount of the right risks Risk appetite is about gaining flexibility! 3 3
5 Risk preference Risk / Return preference Company Strategy Capital Requirement 4 4
6 Why bother? What it can do for you: Translates the strategy into clear framework of what risks each level of business is authorised to take and is responsible for the management of; A clearer framework for decision making delegation and escalation. Enhances consistency and efficiency by ensuring Board support of business decisions; Permeates the risk culture through the business. 5 5
7 A risk appetite framework Needs to have a few components: At a company level, risk appetite statements; A set of risk indicators; A structure of risk limits; An appropriate governance infrastructure. 6 6
8 Forming a risk appetite Risk appetite needs to be relevant to strategic priorities: Solvency Profit Value Reputation Liquidity Etc etc How important is each? 7 7
9 A risk appetite statement Solvency Over a one year time horizon, with 95% certainty, any single risk event will not reduce local statutory solvency by 100 percentage points of the minimum requirement, and Over a one year time horizon, with 95% certainty, solvency will not fall below 150% of the statutory minimum requirement 8 8
10 Managing capital Total Capital Minimum Acceptable Capital Level of capital under which it is not possible to transact business under acceptable terms. In China: Under 150%: investment restrictions, limitations on profit distribution; Under 120%: unable to invest in private placement debt; Under 100%: severe business restrictions 9 9
11 Managing capital Total Capital Capital buffer Target Capital Minimum Acceptable Capital Level of capital which would ensure that the company would still meet the Minimum Acceptable Capital under relevant shock scenarios. Level of capital under which it is not possible to transact business under acceptable terms. In China: Under 150%: investment restrictions, limitations on profit distribution; Under 120%: unable to invest in private placement debt; Under 100%: severe business restrictions 10 10
12 Managing capital Available for dividends Total Capital Target Capital + excess Level of capital which would ensure that the company would still meet the Target Capital for the planning period, under relevant shock scenarios. Capital buffer Target Capital Minimum Acceptable Capital Level of capital which would ensure that the company would still meet the Minimum Acceptable Capital under relevant shock scenarios. Level of capital under which it is not possible to transact business under acceptable terms. In China: Under 150%: investment restrictions, limitations on profit distribution; Under 120%: unable to invest in private placement debt; Under 100%: severe business restrictions 11 11
13 Managing capital Available for dividends Total Capital Target Capital + excess Capital buffer Target Capital Minimum Acceptable Capital Risk appetite is represented by the Capital Buffer
14 Looking at earnings Earnings buffer Budgeted Earnings Minimum Acceptable Earnings Risk appetite is represented by the difference between: Budgeted earnings, and Minimum acceptable earnings. Minimum acceptable earnings could be positive or negative
15 A top-down approach Looks at aspirations What minimum solvency levels and profits can we tolerate? What level of capital resources do we have access to? Macro, mainly qualitative. Do our aspirations match our reality? 14 14
16 A bottom-up approach In an adverse situation, What types of losses are we concerned about? How much loss are we willing to bear? How much loss are we able to bear? How would we define and analyse those adverse situations? What risks do we have to take? 15 15
17 Getting to a risk appetite Reality Analysis Aspirations Bottom-up Top-down 16 16
18 Risks faced by a life insurer External factors Rating agency requirements Regulator requirements Shareholder preferences Return on capital Shareholder dividend 17 17
19 Asian challenges Lack of risk management tools Hedging instruments Gap between ideal and reality Trade-off between financial risks and business risks Transient regulatory environment Generalist board and management 18 18
20 After determining a risk appetite Next steps Translate risk tolerance and risk appetite into risk limits Analysis of status quo -> whether it meets company s risk appetite -> optimise (reduce, increase, take on new risks) KRI s, make it tangible to each business unit and individual 19 19
21 After determining a risk appetite Next steps Embed it into the company s management Budget planning Remuneration Reporting Regular review How often should it be changed? 20 20
22 Key messages Risk appetite statements provide a useful link between: Business strategy; Business decisions; Business environment. Once embedded, it facilitates a riskfocussed way of running a business; Start simple
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