Developing a SAM Market Risk Tool

As South Africa is gearing up to implement Solvency Assessment and Management (SAM) later this year, some insurers are still struggling to internalise and get to grips with the SAM requirements. One of the key components insurers need to develop for SAM Pillar I is the measure of an insurer’s exposure to Market Risk. QED embarked on a project to build a SAM Market Risk Tool that performs the full suite of Market Risk shocks without simplifications.

This articles details the considerations and hurdles we had to face when developing this tool.

 

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