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Risk Measurement
& Performance Monitoring


Risk Management Framework

Communicate the impact of recently adopted C1 bond factors effective YE 2021 on RBC ratios
Articulate credit and market risk appetite, quantify risk-based limits and loss budgets
Derivatives risk management including liability hedges for variable annuity blocks

Effective Use of Vendor Tools

Guidance on performance metrics, business use, and dashboard design
Overcome data challenges through proxy modeling
Guidance on aligning parametrization with business use and perspective on risk (e.g., GAAP vs STAT vs FV, or use of interest income as an offset to loss)
Guidance on LIBOR transition to SOFR and modeling credit spread term structures

Multi-Asset Level-Set Articulation of Risk

Comparable articulation of risk across assets (including alternatives and derivatives)
Overcome challenges with variation in data and models across assets
Risk-based pricing
Unify risk measurement and management across the derivatives and securities book

Peer and Index Benchmarks

Asset composition and RBC peer benchmarking, facilitating targeted performance comparisons
Index benchmark aligned to liability profile, regulatory capital requirements, and accounting aware (e.g., BBG-Barclays AGG Index under GAAP or STAT)

Issues of the Day and Implications for Business Operations, Demographics & Strategy

Emerging threats including pandemic, climate hazards, cyber, supply chain risks, and mental health

Regulatory trends (e.g., NAIC), credit cycle, evolving markets (e.g., crypto and DeFi)  and key demographic changes

Implications for business operations (e.g., global vaccine role out, epidemiological trends and risks with office reopening), financial markets and demographic changes

Experts include a member of the FDA advisory panel on coronavirus vaccines, and co-founder, Chief Strategy Officer and host of FinTech.TV

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