icaap of sns bank - garp · 2015-04-06 · • icaap document, scenario’s, assumptions and...
TRANSCRIPT
ICAAP of SNS Bank
Arno van Eekelen
Senior Consultant
SNS Bank
Global Association of Risk Professionals
June 2014
2 | © 2012 Global Association of Risk Professionals. All rights reserved.
Table of contents
1. SNS REAAL
2. ICAAP
a) Basic elements and environment
b) ICAAP stages
c) Internal governance
3 | © 2012 Global Association of Risk Professionals. All rights reserved.
SNS REAAL
Dutch service provider in the banking and insurance sector
Balance sheet total of € 125 billion
Dutch state single shareholder as of February 2013
ICAAPORSA
4 | © 2012 Global Association of Risk Professionals. All rights reserved.
Basic elements and environment
Current balance sheet
External factors
Financial markets Customers Analists/investors
Rating agencies Supervisor Regulation
ICAAP capital
Available
capital
Risk appetite
Risk assessment, Risk
policy and risk limits
(reverse) Stress test
Business strategy
Economic Capital
Regulatory Capital
5 | © 2012 Global Association of Risk Professionals. All rights reserved.
ICAAP stages
Preperationfase I
Preperationfase II
Executionfase
Determinationfase
Evaluationfase
Preperationfase I and II
• ICAAP document, scenario’s, assumptions and guidelines
Executionfase
• Risk analysis and (reverse) stress test
Determinationfase
• Determination of capitalisation of SNS Bank (with board & experts)
• Finalise ICAAP package (document and attachement)
Evaluationfase
• Internal and external (DNB/SREP) evaluation of ICAAP
6 | © 2012 Global Association of Risk Professionals. All rights reserved.
Internal governance
ALCO Bank
Executive Board
Steering CommitteeFinance SNS Bank
Regulatory projects
Working group
7 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA of REAAL Verzekeringen
Gabe Langhout
Senior Risk Consultant
SNS REAAL
Global Association of Risk Professionals
June 2014
8 | © 2012 Global Association of Risk Professionals. All rights reserved.
Table of contents
1. ORSA process
2. ORSA stages
3. ORSA organization
4. ORSA evaluation & development
5. ORSA shifting focus in workshop discussions
6. ORSA (internal) intervention ladder
7. ORSA versus ICAAP
9 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA Process
Triggers
Risk Appetite
Risk Analyses
Draft Report
Workshops
Final Report
Scaling
Business Strategy
Stress Testing
Management Body
Risk Identification
& measurement
Appropriateness
Assessment
Supervisory
Review Process
Eva
lua
tio
n
See also: Good Practices ORSA, Verbond van Verzekeraars
https://www.verzekeraars.nl/actueel/nieuwsberichten/Documents/2012/Maart/ORSA%20Good%20practice.pdf
10 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA Stages
Preparation Execution Decision Evaluation
ORSA Policy &
Table of contents
ORSA Report
Risk Measurement
& Analyses
(Internal)
Intervention
Ladder
Supervisory
Review @
Evaluation Process
Business Strategy Appropriateness
Assessment
Calibration of
Risk Appetite
Statement,
Strategy, Limits
(Internal)
Evaluation
Baseline projection Stress Testing Management
actions to be taken
Stress scenarios Draft
ORSA Report
Final
ORSA Report
11 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA Organization
Decide
Advise
Coordinate
Participate
ORSA Project Team
Risk
Finance
Balans Sheet
Management
Financial RiskNon-Financial
Risk
Risk
Reporting
Balans
OptimizationCorporate
Strategy
ControlFinance
Reporting
Supervisory Board Group Audit
Management Board
Operational Risk &
Compliancy CommitteeALCO
Steering Committee
12 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA Evaluation & Development
Subject 1e ORSA 2e ORSA 3e ORSA 4e ORSA
Governance
ORSA Policy
Data
Stress Testing
Forward Looking
13 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA Workshops: Shifting Focus in workshop discussions
From Solvency I via Theoretic Solvency Criterion (TSC) to Solvency II
The “Metric” is still changing unfortunately
From Risk to Risk/Return
Without Risk no Return, “there is no free lunch”
From Risk Appetite to Efficacy of Management Actions
The Risk Appetite may be high(er) if many capital strengthening and de-risking options are available
From Stress Scenarios to Recovery Options / Capacity in different types of stressed situations
Slow, Fast, Idiosyncratic, System wide
From Compliancy to Understanding vulnerabilities & possible mitigating actions
14 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA (Internal) Intervention Ladder
Internal Intervention Ladder
based on own perception of
Risk and the possibility that the
SCR exceeds Own Funds
Solvency = 150%,
Is that OK?
Solvency = 150%,
Is (forward looking)
not OK in scenario!
15 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA (Internal) Intervention Ladder
Appropriateness Assessment:
Risk is underestimated in Pillar
I calculation
16 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA (Internal) Intervention Ladder
De-risking improves solvency in
the short term
Risk Taking improves rate of
return in the long term
Baseline
17 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA versus ICAAP: main differences
Subject ICAAP ORSA
HorizonNot prescribed
(>= 1 year)Forward looking (>= 3 years)
Appropriateness
Assessment Risk
measurement
Optional Required
ProcessFinal “chapter” of the
Basel framework
Starting point for the Solvency
Framework
Focus Capital Capital & Risk
Compliancy Assessment Optional Required
Accounting Method Mainly: Amortized Cost Fair Value
Risks covered
in Pillar 1
Credit-, Market- &
Operational Risk
Market- (single risks), Insurance-
(single risks), Counterparty
Default-, Operational Risk
18 | © 2012 Global Association of Risk Professionals. All rights reserved.
ICAAP versus ORSA
Jeroen van Duren
Sr. manager Financiën & GRC Centraal
Menzis
Global Association of Risk Professionals
June 2014
19 | © 2012 Global Association of Risk Professionals. All rights reserved.
Table of contents
• Introduction Menzis
• Risk Framework Menzis
• ORSA Menzis
• Lessons learned
20 | © 2012 Global Association of Risk Professionals. All rights reserved.
> 2,1 million people insured
1704 fte medewerkers
€ 5,5 billion GWP
(incl. AnderZorg en Azivo)
Three “Zorgkantoren”:
Arnhem, Groningen, Twente
€ 3,5 billion GWP
daadkrachtig
menselijk
voor elkaar
Health Insurer (Co-op)
Drivers: Price, volume and Quality
‘Samen verzekeren wij kwalitatief goede zorg om de leefkracht van ieder menz te versterken.’
Introduction Menzis
21 | © 2012 Global Association of Risk Professionals. All rights reserved.
Table of contents
• Introduction Menzis
• Risk Framework Menzis
• ORSA Menzis
• Lessons learned
22 | © 2012 Global Association of Risk Professionals. All rights reserved.
ORSA: linking Risk and
Capital management:
What is the required level of Solvency to realise our strategic goals and
to absorb future (unknown) risks over a three to five years horizon?
Risk and Capital
23 | © 2012 Global Association of Risk Professionals. All rights reserved.
Hoeveel risico
lopen we?
SRA
ORSA
Risicobereidheid
Specifieke
risico’s
Toleranties
Hoeveel risico zijn
we bereid te lopen?
Risicoprofiel Toleranties
“Management
actions”
Strategie
Aanpasing/herijking
strategie
Wat is de impact
van risico’s op het
kapitaal op lange
termijn?
23
24 | © 2012 Global Association of Risk Professionals. All rights reserved.
Planning andControl cycle
Risico’s op
strategisch niveau
Doelstellingen op
strategisch niveau
Doelstellingen op
tactisch niveau
Risico’s op
tactisch niveau
Doelstellingen op
operationeel niveau
Risico’s op
operationeel niveau
Do
ele
n s
telle
n
Ve
ran
two
ord
ing
en
stu
urin
form
atie
Do
ele
n s
telle
n
Ve
ran
two
ord
ing
en
stu
urin
form
atie
Ris
ico
pla
nn
ing
Ris
ico
pla
nn
ing
Ve
ran
two
ord
ing
en
stu
urin
form
atie
Ve
ran
two
ord
ing
en
stu
urin
form
atie
Strategie Menzis
Missie Menzis
25 | © 2012 Global Association of Risk Professionals. All rights reserved.
Table of contents
• Introduction Menzis
• Risk Framework Menzis
• ORSA Menzis
• Lessons learned
26 | © 2012 Global Association of Risk Professionals. All rights reserved.
From risks to scenarios
Beleggingen
Scenario
Beheerskosten
Scenario
Verzekerden
Scenario
Uitkomst SRA
2
Meerjaren
strategie
Prudent
Scenario
AV
ScenarioBudgetresultaat
Scenario
34
5
11
6
9
18
8
13
14
25
29
16
19202126
27
28
29
2 4
5
9
3
6
18
11
8
1314 25 29
16 1920
21 26
27
28
AWBZ
Scenario
27 | © 2012 Global Association of Risk Professionals. All rights reserved.
From scenarios to capital
Kapitaal
Ontwikkeling van
het eigen vermogen
Ontwikkeling van de
kapitaalsvereiste
Scenario’sStrategische Risico’s
Ontwikkeling van de
kapitaalsvereiste
Ontwikkeling van
het eigen vermogen
Kapitaal
Scenario 1
Scenario 2
Scenario 3
1Ho
og
Aa
nzie
nlij
kB
ep
erk
La
ag
2
3
5
4
6
7
9
8
10
1
2 7
7
9
5
8
5 Ontwikkeling van de
kapitaalsvereiste
Ontwikkeling van
het eigen vermogen
Kapitaal
Tijd
Tijd
Tijd
Premie
Schade
Beleggingen
Verzekerden
Bedrijfskosten
T+1 T+2 T+3 T+4 T+5
Premie
Schade
Beleggingen
Verzekerden
Bedrijfskosten
T+1 T+2 T+3 T+4 T+5
Premie
Schade
Beleggingen
Verzekerden
Bedrijfskosten
T+1 T+2 T+3 T+4 T+5
Balans
Verlies en Winst
T+1 T+2 T+3
T+1 T+2 T+3
T+4 T+5
T+4 T+5
Balans
Verlies en Winst
T+1 T+2 T+3
T+1 T+2 T+3
T+4 T+5
T+4 T+5
Balans
Verlies en Winst
T+1 T+2 T+3
T+1 T+2 T+3
T+4 T+5
T+4 T+5
Financiële projecties KapitaalberekeningenVariabelen
28 | © 2012 Global Association of Risk Professionals. All rights reserved.
Regulatory Required Minimum
• Market risk
• Underwriting risk
• Counterparty risk
• Liquidity risk
• Operational risk
• Historic risk
• Worst Case –strategic scenario
• Strategic choices
Required & desired solvency
Additional
Internal
buffer
SCR
buffer
29 | © 2012 Global Association of Risk Professionals. All rights reserved.
Menzis ORSA
Expertteam Actu
arialdept
Advis
ory
Board
After sales service
CommerceFin
ancia
l Adm
inis
tration
Board
Business Control
Board of Directors
Corporate office
Health management
Accounting
Fin
ancia
l Contr
ol &
Report
ing
Solvency II Program
Audit
30 | © 2012 Global Association of Risk Professionals. All rights reserved.
Table of contents
• Introduction Menzis
• Risk Framework Menzis
• ORSA Menzis
• Lessons learned
31 | © 2012 Global Association of Risk Professionals. All rights reserved.
Lessons Learned (summary)
• Integral Risk Framework (consistent, related)
• Key input for main decision making (e.g. premium setting)
• Control & Risk Management (integral steering)
• Set limits (risk tolerance)
• Required (external) versus eligible solvency (intern)
• Entire organisation involved (commitment, widespread support)
32 | © 2012 Global Association of Risk Professionals. All rights reserved.
Creating a culture of
risk awarenessTM
Global Association of
Risk Professionals
111 Town Square Place
Suite 1215
Jersey City, New Jersey 07310
USA
+ 1 201.719.7210
2nd Floor
Bengal Wing
9A Devonshire Square
London, EC2M 4YN
UK
+ 44 (0) 20 7397 9630
www.garp.org
About GARP | The Global Association of Risk Professionals (GARP) is a not-for-profit global membership organization dedicated to preparing professionals and organizations to make
better informed risk decisions. Membership represents over 150,000 risk management practitioners and researchers from banks, investment management firms, government agencies,
academic institutions, and corporations from more than 195 countries and territories. GARP administers the Financial Risk Manager (FRM®) and the Energy Risk Professional (ERP®)
exams; certifications recognized by risk professionals worldwide. GARP also helps advance the role of risk management via comprehensive professional education and training for
professionals of all levels. www.garp.org.