S&P has released a proposed update of the model it uses to analyse insurers' portfolios of capital...
Standard & Poor's has released a proposed update of the
framework of the base model it uses to analyse portfolios of capital held by insurance companies.
The model is used to capture observed volatility in the financial markets and the insurance underwriting results.
The new model will allow S&P to compare the total adjusted capital of each of the insurers worldwide that it interactively rate with required capital across a spectrum of confidence levels.
It will also enable the capture of the full range of financial risks for each industry segment, which will refine the assessment of required capital at each level of confidence and greatly enhance its view of an insurer's risk. What will emerge is whether the total adjusted capital is either redundant or deficient across four target levels of risk-adjusted capital and by how
much.
The agency is soliciting comments from market participants about the revised charges and the model overall.
