ERM Webinar 今年も無事に終了

今年で３年目になるERM Webinarは、１２月１日に日本時間の昼過ぎから開始され無事にすべてのリージョン（アジア、欧州、北米）でプログラムを予定どおりに終えることができた。
今年のプログラムは、各リージョン共通で、次の４つのトピックスで統一されている。私は、アジア地域全体のCoordinatorの役割を果たし、半年以上にわたっての欧米の委員との電話会議で内容をつめるとともに、スピーカーの募集を行った。香港のアクチュアリー会の事務局を経由してアジア各国と連絡をとり、日本アクチュアリー会の事務局とも密接に連携した。アジアの４つのセッションの司会は、Gavin Maistry（シンガポール）,Hideyuki Yoshida（日本）,Mary Liao（オーストラリア）,Wong Ka Man（香港）がModeratorとして、各セッションのとりまとめを行った。今年のスピーカーで特筆すべきは、年金ERMについて、杉田健さん（日本アクチュアリー会副理事長）が、世界で始めて発表されたことである。興味のある方は、第４セッションにおいての発表をRecorded Versionが米国アクチュアリー会事務局から送付されてきたら、登録している方は、視聴できる。
Value Creation vs. Systemic Risk

US – Basic Level
UK – Basic Level
AP- Basic Level

Systemic Risk is a key concern for regulators worldwide in the wake of the 2008 financial crisis and initiatives are underway to reduce systemic risk. For example the U.S. Treasury and Her Majesty’s Treasury in the UK have separately proposed financial regulatory reform including the establishment of a systemic risk regulator. Concerns have arisen over credit for diversification, group structures and market consistent valuation. However the insurance sector still needs to create value for their shareholders to remain viable and provide insurance services.

This session will consider some of the concerns around systemic risk and the drivers of value creation that have come under close attention by virtue of their links to systemic risk. The European session will also evaluate pension scheme concerns.

Approaches to ERM and Capital Models

US – Basic Level
UK – Advanced level
AP- Advanced Level

ERM approaches to setting capital requirements for the financial services industry are being revised and updated by various stakeholders around the globe. These changes will have a significant impact on the economic capital models (ECM) that insurers use. In the European Union, there is much focus on the implementation of Solvency II regulation and several countries in Asia and the Americas are contemplating adopting Solvency II into their own regimes. IAIS (International Association of Insurance Supervisors) have also started some initiatives with regards to the regulatory approach to ERM. Rating agencies are developing their criteria for ERM and ECM. Meanwhile ERM as practiced in the banking sector is often suggested as a model for ERM in the insurance sector. What does this all mean to the insurance industry?

Questions for discussion include:
• How are stakeholders including insurers, banks, regulators and rating agencies approaching the development of an ERM / ECM framework? What are the similarities/differences?
• How will the various approaches to ERM/ECM affect current capital modelling approaches?
• What is the capacity of the stakeholders to understand and assess a potentially more sophisticated ECM framework?
• Is a regulatory system requiring capital models sufficient and viable?

Economic Capital Models: Design, Calibration, Validation and Updating

US – Advanced Level
UK – Advanced level
AP- Basic Level

This session will focus on the processes associated with designing, calibrating, validating and updating of internal models based on bringing new information and intelligence as they arise.

Questions for discussion include:
• What does best practice look like when designing, calibrating, validating or updating an ECM? How do we assess the limitations of an ECM (e.g. model risk or parameter uncertainty)?
• What are prudent processes that can be used to test models such that they simulate a reasonable approximation of reality?
• What is the tradeoff between model efficiency and model accuracy? What are the available resources to address this?
• What is best practice for integrating an ECM with the strategic planning of an insurance business? Would regulatory requirements for internal models weaken their effectiveness in risk management?

Governance, Strategic Risk and Operational Risk

US – Basic Level
UK – Basic level
AP- Advanced Level

Firms that have poor governance or poor management of strategic and operation risks often experience brand damages, loss of distribution networks, fiscal changes, or inability to fund new business plans, ultimately leading to failures. The main benefit touted in an ERM framework is the notion that ERM takes a holistic view of the risks permeating an entity in the interest of balancing risk and return tradeoffs in making strategic decisions such as capital allocation to add value to an enterprise. Yet ERM frameworks often do not adequately capture the governance, strategic or operational risks that businesses face.

This session will consider issues such as ERM governance, tools and techniques to assess strategic and operational risks and their integration into an overall ERM framework. In addition, the Asia Region session will provide in-depth discussions of ERM in the pension industry.

これらの内容は、国際関係委員会のERM Webinar部会で報告するとともに、本日１２月１５日のERM委員会でも報告させていただいた。金融危機を経て、各国の監督制度はリスク管理について、より厳格になってきており、全般的に、欧米の各社はより先進的な内部モデルの構築に取り組んでいるという印象をうけた。