IT support for Solvency II market risk capital requirements calculation

Jerneja Writzl (2013) IT support for Solvency II market risk capital requirements calculation. EngD thesis.

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Abstract

Solvency II directive is scheduled to come into effect in the beginning of the year 2016. Its implementation will be mandatory for all insurance and reinsurance companies of the member states of the European Union and the European Economic Area. As such, it is considered to be one of the largest projects in the history of the insurance industry. In the thesis, we first present main features of the directive and describe the module for market risk capital requirements calculation. The main objective is to ensure data quality, which is a prerequisite for obtaining appropriate calculations. In the practial part of the thesis, we offer a solution that allows combining data from different sources, ensures data quality, and transforms data, so it can be directly used in the subsequent calculations. The obtained data is then tested, using a calculator designed for market risk capital requirements calculation, which gives us the expected values. By examining the initial source data, we conclude that providing data quality is essential for successful implementation of Solvency II.

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