Webinar Update on Liquidity Risk Requirements
Time: 12.00 to 14.30 hr | Requested for 2 PE-points | Price Euro 199
This webinar is for actuarial professionals and other financials, who want to get more grip on the liquidity risk in their organisation after applying the new regulations.
Liquidity risk is receiving increasing attention from regulators and observing market parties, such as rating agencies. It is a natural consequence of the increased uncertainty resulting from external events such as the COVID-19 pandemic and the mitigating measures taken by Supranational bodies, the local governments and central banks. Currently, we can assume that liquidity is a continuously available resource, available in an unlimited amount. However, this sounds too good to be true.
EIOPA recently released a new document on liquidity stress testing. This work is inspired by the Basel III requirements for banks, which came into effect about a decade ago. Naturally, the regulatory framework has been adapted to the insurance sector. There is good reasons for the pension fund sector to also pay close attention to these developments.
The lecture consists of two components. In the first part, Matteo Sottocornola (EIOPA) will provide a deeper understanding of the currently proposed EIOPA liquidity stress testing requirements, covering the following topics:
- General introduction to liquidity in insurance
- Sources of liquidity risks:
- Market driven
- Policyholder behaviours
- Insurance specific
- Approach to monitoring
- 2021 EIOPA Stress test exercise
- Key aspects:
- Groups: Centralised vs. decentralised liquidity management
- Concept of Fungibility of the liquidity sources
- Risk transfer: who bears the liquidity risk?
After a break, we will take a closer look at the practical consequences of the new regulations. Gerrit Jan van den Brink will cover the following topics:
- Liquidity risk and market liquidity risk: two different types of risks
- Liquidity risk in stress situations
- Exposure to Liquidity risk throughout the life cycle of a business:
- Accumulation phase of the book
- On the tipping point
- Decumulation phase of the book
- Embedding liquidity risk in the risk suite of an insurance company or a pension fund: small case
The webinar is conducted in English, but questions in Dutch are of course welcome.
Dr. Matteo Sottocornola is a senior expert in the EIOPA Risks and Financial Stability Department. His activities focus on stress testing and macroprudential framework development. He actively contributes IAIS and ESRB initiatives on these topics.
Dr. Gerrit Jan van den Brink RA is Chief Financial & Risk Officer of Standard Life International in Frankfurt am Main/Dublin. He is lecturer at the Frankfurt University, Goethe Business School and Nyenrode Business Universiteit.
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