IMF Staff Country Reports

The FSAP mission conducted a risk analysis for large insurance companies and retirement funds. Building on the narrative of the adverse macrofinancial scenario also used in the banking ST, the focus of the analysis in the insurance sector was on solvency. Sensitivity analyses, e.g., interest rate and currency shocks and the default of the largest banking counterparty, complemented the analysis. For retirement funds, future pension values were modeled after a materialization of the adverse scenario in the first two years of the projection horizon. The sample comprised four life insurers, four short-term insurers and four retirement funds, with a market coverage between 80 and 95 percent in each sector. Incomplete reporting data complicated the top-down modelling, specifically with regard to the geographical breakdown of investments for insurers, and the valuation of insurance liabilities.