Moody’s Analytics Launches Solvency II Product Innovation for Life Insurers

London - 26 March 2014

Moody’s Analytics, a leader in risk measurement and management, today announced the launch of a new enterprise solution for Solvency II. The B&H Proxy Generator V3.0 enables life insurers to perform fast asset and liability calculations for Solvency II Internal Model and Own Risk and Solvency Assessment (ORSA) purposes.

The B&H Proxy Generator automates the calibration of multiple asset and liability proxy functions, provides clear auditability including validation reporting, and reduces operational risk. It has been designed specifically to support insurers in multi-site environments to meet every day business requirements for Solvency II.

Many insurers are not able to perform calculations fast enough for capital calculations and risk-based decision making, due to the run times associated with their current Asset Liability Management (ALM) systems. The new B&H Proxy Generator V3.0 creates proxy functions that can be used to model the full distribution of an insurer’s balance sheet, reducing the reliance on full ALM cash flow models. The solution also enables insurers to manage the calibration of proxy functions across multiple portfolios of assets and liabilities.

“With Solvency II back on track, embedding a robust modelling capability into business operations is key. The B&H Proxy Generator supports Internal Model and ORSA requirements, and enables senior management to assess the impact of risks on their balance sheet and capital position quickly”, says Colin Holmes, Senior Director, Moody’s Analytics Insurance Solutions. “We’re seeing an increasing appetite in the industry for proxy techniques to support a broad range of risk management requirements, including continuous solvency monitoring, stress and scenario testing, business planning and assessment of hedging strategies”, adds Mr. Holmes.

In addition to the B&H Proxy Generator,  Moody’s Analytics offers comprehensive solutions for insurers including RiskIntegrity™, RiskFrontier™ for credit VAR calculations and the Barrie + Hibbert product suite. Barrie + Hibbert was acquired by Moody’s Analytics in 2011.

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