Solvency II : Data Framework Management - Home ... and efficiency around use Basic rules 2...
Transcript of Solvency II : Data Framework Management - Home ... and efficiency around use Basic rules 2...
Introduction
Looking to cover off the complexities on data and their impact on Pillar II and Pillar III
Looking at ◦ Complexity ◦ Manual intervention ◦ Controls ◦ The unknown ◦ Use and efficiency around use ◦ Basic rules
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Introduction
Data commonly poorly recorded, poorly defined, inconsistently used
chance, sorry need, to get it right
not just data in but data out
make x1, x2, x3 into X
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Best estimate reserving
output
Risk margin output
Aon Benfield RMS CAT Modelling
Risk Register
Technical provisions Asset mix Underwriting
RiskBusiness planning
CAT model outputs
Operational Risk
Economic Scenario
GeneratorR/I Process
Solvency Capital
Requirement ("SCR")
Forecasted Accounts for
Business PlanLiability Profile
Statutory reporting
Management information
ORSA
Model use
Calculation Kernel
Distribution of Projected Future Cashflows
Outside Model Scope
Model Inputs
Model Calculations
Model Outputs
Asset Data Delivery Q4-’11 and Q4-’12
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ART Activities
ECAPS2 Activities
BU files +
Bloomberg
Scrubbing Cleaned files
In Landing Zone
DDS RDM
ECAPS Specific
Functionality
Position File +
Instrument Files
FI Bucketing +
FI Domesticity +
Position Filtering
Position File +
Instrument Files
Equity Basket Options
Equity Index
Futures
ECAPS Delivery
Pandora File Creation (Algorithmics IFF)
GMDB Position File
+ Instrument Files
KDI Check +
Dashboard
Bucketing Mapping Tables
GAUDI Reconciliation
FI-DC
Position File FI-FRB FI-FRN FI-DC EBO EIF
Asset Data Delivery – Suggested Approach Q2 2013
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ART Activities
ECAPS2 Activities
BU files +
Bloomberg
Scrubbing Cleaned files
In Landing Zone
DDS RDM
ECAPS Delivery
Pandora Pre Processing (KDI Extraction)
Position File +
Instrument KDI Files
KDI Check +
Dashboard
Bucketing Mapping Tables
GAUDI Reconcilliation
FI-DC EBO-Indices
ETL (Pandorra)
ETL (QlikView Expressor)
Asset Data Delivery – Suggested Approach Q3 2013
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ART Activities
ECAPS2 Activities
BU files +
Bloomberg
Scrubbing Cleaned files
In Landing Zone
DDS RDM
ECAPS Delivery
Position File +
Instrument Files
KDI Check +
Dashboard
Bucketing Mapping Tables
GAUDI Reconcilliation
FI-DC EBO-Indices
ETL (QlikView Expressor)
What does it look like? 10
Plans & Strategies
Risk Analysis
External Impacts
Assessment &
Decisions
Outcome
Outcome
Outcome
OCU POINTS
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The unknown?
ORSA documents all risks across Pillar I-III
Pillar II & III risks non-numerate
Strategy, Emerging, Compliance, Concentration, Reputation risks
Difficult to estimate, little peer or historic comparison
Based on opinion
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How is the ORSA used?
ensures understanding of risk
demonstrates understanding of risk to senior management
demonstrate understanding of risk and embedded Solvency II processes to the regulator
adherence to process ensures monitoring & feedback loop
should ultimately be full iterative cycle of decisions into next ORSA
should be regarded as a hop, step and jump rather than long jump
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Numbers and text
log of elements ... Log of use
reference to reports, documentation
re-use
ensure qualitative balance correct .. Only what’s needed
central submission tool
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Who in the business uses it?
truly everyone
circulate set and record all
segmentation and one definition are key
re-use and reduce extracts and results
plan, re-organise business calendar for moveable processes
reduce effort, reduce re-do, increase control, reduce x1,x2,x3,...
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Who in the business uses it?
reports should cascade up and down to the ORSA, mid-ORSA reports should report on deviation to the ORSA (to ensure understood)
Link into BAU management process at many levels ... not just senior level
all should understand it’s use but don’t need to understand it all ... ensure use is defined to level needed
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When is it right?
never
over next couple of years will be continued improvement of definition by regulators (as they learn), self as you learn
ensure record of use records positive and negative use ... don’t produce what isn’t needed and ensure if not used then truly not needed
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Pragmatic solution for data
many options
integration
ease of use and re-use
don’t over engineer .. Needs to be workable\usable
set tool/approach suitable for scale of company, data, systems etc
simpler is better
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