Scalars: Aggregating Capital Requirements Across Regulatory Frameworks

Scalars are a central part of efforts to develop capital adequacy measures for financial groups that operate businesses in more than one country and/or more than one industry. They provide a way to effectively “translate” capital requirements that are not strictly comparable and vary across jurisdictions into a common regulatory framework. In this session, we will discuss the American Academy of Actuaries’ recently released research paper on scalar methodologies to aggregate capital requirements across regulatory frameworks. The Academy’s research describes four families of scalar methodology and assesses them based on four independent, general criteria. During the session, we will review several of the major results presented.

  • Date:Monday, September 13
  • Time:5:00 PM - 6:15 PM EDT
  • Session Type:Concurrent Session
  • Session Code:FR-2
  • Learning Objective 1:Understand complexities of comparing solvency across regulatory regimes, whether differing by country or by industry.
  • Learning Objective 2:Understand role of Scalars in Constructing group capital solvency metrics.
  • Learning Objective 3:Understand complexities of designing scalars.
  • Learning Objective 4:Be prepared to weigh in on scalar construction if scalars would have a material impact on your company.
  • Learning Objective 5:Be prepared to construct group capital solvency metrics with scalars as mandated, if and when relevant.
  • Level of Knowledge:Level 3: Working knowledge of the subject
  • Moderator:Matt Killough

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Speakers
Steven Jackson
American Academy of Actuaries
Maryellen Coggins, FCAS
PricewaterhouseCoopers
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