From the pandemic to the geopolitical conflicts, the economic condition has been a roller coaster from all-time low-interest rates and inflation to an all-time high. Risk-Based Capital (RBC) is a statutory minimum level of capital that insurers are required to hold as of today to allow them to fulfill their obligations at a time of crisis. With the fast-moving and volatile economic environment, how are you managing the future uncertainty of the Risk-based Capital (RBC) to make the right investment and strategic decisions? Moody’s Analytics can help.
In this webinar, our experts will discuss how the economic environment may have an impact on the inherent risk of assets, hence affecting the C1 RBC charge over time and help manage the C1 RBC more quantitatively and effectively:
» Assess how RBC may increase in the future as the economic environment and credit qualities of issuers can deteriorate
» Quantify the magnitude of uncertainty in a future level of RBC concerning macroeconomic variables and risk attribution
» Monitor the overall credit quality, fallen angels, downgrade probabilities, and concentration under macro scenarios
» Demonstration of a validation of the calibrated parameters against historically realized downgrades and the rating dynamics in the light of economic situations until 2022 Q2
The framework has been calibrated under both 6 coarse NAIC and 21 fine NAIC categories.
Don’t miss this webinar – register today!
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SpeakersJin Oh Senior Director-Industry Practice Lead Moody's Analytics
Libor Pospisil Senior Director, Banking Research Moody's Analytics
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Jin Oh is a Senior Director in the Global Risk Solutions Practice for the Americas, responsible for solution structuring of portfolio risk management, stress testing, and capital planning solutions for large financial institutions including banks and insurance companies. She also works with clients on the impact of ESG and climate on portfolio credit risk and stress testing. Prior to joining Moody’s, she was an engagement director at KPMG, leading capital planning and stress testing implementations for large global financial institutions. Jin holds a Bachelor of Arts in Economics from Cornell University.
Libor Pospisil heads the Correlation Research Team within the Portfolio Research Group of Moody’s Analytics. The team is responsible for research, modeling, and data analysis in the area of credit correlations. This includes correlation models for portfolio credit risk assessment as well as models for stress testing of a credit portfolio and integrating credit risk with other types of risk. Libor holds a Ph.D. degree in statistics from Columbia University in New York. Before joining Moody’s Analytics, he was a faculty member at the Department of Statistics at Columbia University. In addition to teaching graduate level courses ranging from Time Series Analysis to Stochastic Methods in Finance, he conducted research in the field of mathematical finance. His research on pricing derivatives, risk measures, in corporate bond prices was published in Journal of computational Finance and Journal of Fixed Income. He joined Moody’s Analytics in 2010 and since then he has worked on credit correlation research for risk management products as well as on projects which involve direct cooperation with clients, using their data and designing customized models.