Impacts of the regulatory model for market risk capital: application in a special savings company, an insurance company, and a pension fund

ABSTRACT In line with the regulation brought in by Solvency II, the Superintendence of Private Insurance (Susep) introduced the market risk capital requirement at the end of 2015, with 50% of the minimum capital for this type of risk being required by December 31st 2016 and 100% the following year. This regulatory model consists of calculating parametric value at risk with a 99% confidence level and a three month time horizon, using the net exposure of expected cash flows from assets and liabilities and a covariance matrix updated with market data up to July 2014. One limitation of this regulatory approach is that the updating of the covariance matrix depends on prior approval by the National Council of Private Insurance, which can limit the frequency the covariance matrix is updated and the model’s adherence to the current market reality. As this matrix considers the period before the presidential election, the country’s loss of investment grade status, and the impeachment process, which all contributed to an increase in market volatility, this paper analyses the impacts of applying the regulatory model, considering the market volatility updated to December 31st 2015, for a special savings company (sociedade de capitalização), an insurance company, and an pension fund. Furthermore, the paper discusses the practical implications of the new market risk requirement for managing the investments of the entities supervised by Susep, listing the various assumptions that can be used in the regulated entities’ Asset and Liability Management decision models and possible trade-offs to be addressed in this process.

摘要：为契合偿付能力II（Solvency II）出台的监管规定，巴西私人保险监管局（Superintendence of Private Insurance，Susep）于2015年末推出市场风险资本要求：该类风险的最低资本需在2016年12月31日前缴付50%，次年全额缴清。本监管模型采用参数化风险价值（parametric value at risk）法，以99%的置信水平与3个月的时间跨度，基于资产与负债的预期现金流净敞口，以及截至2014年7月的市场数据更新得到的协方差矩阵（covariance matrix）进行计算。该监管方法存在一项局限：协方差矩阵的更新需事先获得巴西私人保险全国委员会（National Council of Private Insurance）的批准，这会限制协方差矩阵的更新频率，进而削弱模型对当前市场实际情况的贴合度。由于该协方差矩阵所覆盖的时期包含总统选举、该国丧失投资评级地位以及弹劾程序等事件——上述因素均推高了市场波动率（market volatility）——本文以截至2015年12月31日更新的市场波动率为前提，分析了该监管模型应用于特殊储蓄公司（sociedade de capitalização）、保险公司与养老基金的影响。此外，本文还探讨了新市场风险要求对Susep监管实体的投资管理工作的实际意义，梳理了受监管实体在资产负债管理（Asset and Liability Management）决策模型中可采用的各类假设，以及该流程中需权衡的各项取舍。