{
  "title": "Botswana: Financial Sector Assessment Program-Technical Note on Stress Testing and Systemic Risk Analysis for Insurers and Retirement Funds",
  "publication": "IMF Staff Country Reports, March 5, 2024",
  "sourceUrl": "https://www.imf.org/en/publications/cr/issues/2024/03/05/botswana-financial-sector-assessment-program-technical-note-on-stress-testing-and-systemic-545513",
  "canonical": "https://www.imf.org/en/publications/cr/issues/2024/03/05/botswana-financial-sector-assessment-program-technical-note-on-stress-testing-and-systemic-545513",
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  "summary": "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.",
  "sections": [
    {
      "heading": "Overview",
      "content": "- The FSAP mission conducted a risk analysis for large insurance companies and retirement funds.\n- The analysis built on the narrative of the adverse macrofinancial scenario also used in the banking stress test (ST).\n- For the insurance sector the focus of the analysis was on solvency.\n- For retirement funds, future pension values were modeled after a materialization of the adverse scenario in the first two years of the projection horizon."
    },
    {
      "heading": "Methodology and Scenarios",
      "content": "- Stress testing approach:\n  - Adverse macrofinancial scenario aligned with the banking ST narrative.\n  - Sensitivity analyses conducted, including interest rate shocks, currency shocks, and the default of the largest banking counterparty.\n- Retirement funds modeling:\n  - Future pension values modeled following materialization of the adverse scenario in the first two years of the projection horizon.\n- Modeling approach:\n  - Top-down modelling applied to insurers and retirement funds."
    },
    {
      "heading": "Sample and Coverage",
      "content": "- Sample composition:\n  - Four life insurers.\n  - Four short-term insurers.\n  - Four retirement funds.\n- Market coverage:\n  - Between 80 and 95 percent in each sector."
    },
    {
      "heading": "Data Issues and Limitations",
      "content": "- Incomplete reporting data complicated the top-down modelling, specifically with regard to:\n  - The geographical breakdown of investments for insurers.\n  - The valuation of insurance liabilities.\n\n---\n\n Content in this bundle\n\n- 1bwaea2024003\n  - 1bwaea2024003 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - 1bwaea2024003 (PDF){rel=\"external\" type=\"application/pdf\"}"
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    "Published: March 5, 2024",
    "Series: IMF Staff Country Reports",
    "DOI: https://doi.org/10.5089/9798400269240.002",
    "The FSAP mission conducted a risk analysis for large insurance companies and retirement funds.",
    "The analysis built on the narrative of the adverse macrofinancial scenario also used in the banking stress test (ST).",
    "For the insurance sector the focus of the analysis was on solvency.",
    "For retirement funds, future pension values were modeled after a materialization of the adverse scenario in the first two years of the projection horizon.",
    "Modeling approach:",
    "Sample composition:",
    "Market coverage:",
    "Incomplete reporting data complicated the top-down modelling, specifically with regard to:",
    "**1bwaea2024003**"
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