Solvency II – Market risk: Getting off the data starting blocks

When considering the asset data requirements for Solvency II, a refinement of the sporting metaphor would be a relay race with multiple team members and multiple batons.

Market risk is a significant contributor to the Solvency Capital Requirement (SCR) of insurance companies. It is also, for many, an area of their risk profile that has not, historically, received the level of scrutiny that will be applied under Solvency II. Insurance companies rightly focus on their insurance activities as their main business, with the task of managing the supporting assets often delegated to in-house or external investment managers. This brings an added complexity to the challenges that insurance companies face in the collection of asset data to support Solvency II’s requirements. What this also means is that a lot of entities’ systems have been well developed to support the liability side of the house, but the asset side has not received the same level of system infrastructure.