System overview
Insurance risk managers are under increasing pressure to understand the Solvency II directive and build compliant strategies to meet the mandate while at the same time improving overall risk assessment as well as product and services profitability.
Fermat Solvency II (SII) offers a complete risk management framework for insurance companies that enables firms to comply with all the facets of the Solvency II directive while providing the foundation for improved strategy and performance. Providing an end-to-end solution, it is a uniquely integrated and built on the robust data management, calculation and reporting architecture of Moody's Analytics' other Fermat products. From a single platform, the solution allows clients to fully calculate the solvency capital requirement (SCR), perform client-behaviour modelling and deliver integrated business reporting.
Functions performed
SII is used for ALM, capital modeling, embedded values, pricing, profitability analysis and enterprise risk management (ERM). It offers exceptional stochastic and nested stochastic capabilities and provides the speed and capacity to run advanced analysis. These capabilities allow clients to quantify the effects of changing reserve and capital requirements today. It also offers a variety of grid options so clients can create the infrastructure that best suits their budget and financial modeling needs. Other functions include:
- Cash flow projections
- Estimate of technical provisions
- Dynamic financial analysis (through stochastic simulations)
- Economic scenario generation
- Embedded value, fair value calculations
- Stress testing
- Strategy testing
- Regulatory and management reporting
- Hedging
- Profitability measurement
- Rate-making when designing new products
Specific Solvency II features
The solution enables firms to comply with all facets of the Solvency II directive including:
Pillar 1 - Quantitative requirements: valuing assets, liabilities and capital
- Selection of standard formula, partial or full internal models
- Calculation of economic capital using inputs from multiple existing systems
- Customize inputs, for example prices, data and assumptions
- Integration with or availability of other risk types (market, credit, liquidity, insurance and operational risk)
- Risk aggregation methodologies through variance-covariance matrix, copula or causal modeling.
Pillar 2 - Qualitative requirement: focus on supervisory and internal risk management processes
- Workflow management and audit component that enforces rigorous, data-driven management of the modelling/reporting cycle
- Provides ability to define the reporting period and timeline dates, define the reporting hierarchy and track key input data
- Ability to perform "what if " calculations
- Stress-testing and back-testing toolsets
Pillar 3 - Transparency and disclosure requirements
- Flexible, interactive risk portal that can be tailored to meet the unique business needs and personal preferences of different users/teams
- Dashboards facilitate better understanding irrespective of risk sophistication of end-user
- Fully flexible, multi-level aggregation and attribution functionality produces reports at any level (geographic or hierarchical entity, business unit, risk type, etc.) for end-users
- Provides daily analysis and reporting of risk and capital results, drill-down analysis, aggregation and attribution analysis, stress-testing and "what if" analysis
For more information please visit www.moodys.com/fermat
Specifications
The solutions architecture is open by nature, since regulatory compliance requires great flexibility in the application, and performance measurement metrics are different from one firm to another. The calculation engines are delivered with APIs that can be called from external scheduling tools and our solution can interact with third-party components through multiple technologies. This capability combined with our flexible customization framework offers a whole host of possibilities to our users.
Licensing/sales/support
Insurance companies can purchase the solution via subscription or term/perpetual licence. Several modules exist and it is possible to select only those modules that correspond to customers' needs, ensuring maximum flexibility. Extensive support is provided through dedicated client services teams with second- and third-level support provided by implementation services, product management and engineering when required.
Types of user
Leading insurance companies across the world.
Areas/countries with the most users
Global client base with clients in North America, Asia Pacific and EMEA.
Contact person and details
Mark Irwin
Product Marketing Manager
Moody's Analytics
One Canada Square
Canary Wharf
London
E14 5FA
Tel: 44 (0)20 7772 1248
E-mail: mark.irwin@mkmv.com