Measuring Market Risk in Insurance
This Deloitte Point of View discusses current market practices for measuring market risk in the insurance and related asset management industries.
Recent market volatility, interest rate fluctuations and liquidity shortages emphasize the importance of sound market risk management. This short study examines trends in how market risk exposure on insurance related assets is measured and managed.
These were the key findings of the study:
- Value at Risk (VaR) preferred risk measure
- Full Valuation (Monte Carlo) used by most
- All responses indicated a move to Full Valuation
- Market Risk rarely used in performance analysis
- Only partial integration with other risk types
- Exposure measured for compliance and reporting
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