The Solvency II & Risk Management programme
Wednesday 7 October 2009
08:30 Registration and refreshments
09:00 Chairman’s opening remarks
09:10 KEYNOTE ADDRESS
Towards Solvency II: a supervisor’s perspective on lessons learned from the
recent financial turmoil
Giovanni Cucinotta, Member of the Managing Board, CEIOPS
09:50 PANEL
Assessing the progress towards developing Level 2 implementation measures
• Timelines for the implementation of Solvency II
• Responses to Consultation Papers
• Progress in developing advice for Level 2 measures
• Issues to be addressed in QIS 5
• What should the industry be doing to prepare for Solvency II?
• Looking ahead to Level 3
Moderator: Carlos Montalvo Rebuelta, Secretary General, CEIOPS
Gregor Pozniak, Secretary General, AMICE
Patricia Plas, Senior Vice President, Public Policy & Regulatory Affairs,
Aegon NV
Peter Vipond, Director, Financial Regulation and Taxation, Association of
British Insurers
10:40 Morning break
11:00 Getting your internal model approved: a regulatory viewpoint
• Ensuring good model governance
• Meeting use tests
• Maintaining statistical quality
• Documentation and data requirements
• The role of externally developed models
Mohamed Lechkar, Supervisory Policy Division, Quantitative Risk Management,
De Nederlandsche Bank
Paolo Cadoni, Technical Specialist, Financial Services Authority
11:40 Addressing technical challenges in implementing Solvency II
• Market risk calibration
• Credit risk consistency in Solvency II
• Considering risk free rates, covered bond rates and illiquidity premia
• Technical topics currently discussed in Basel (II)
Marc Propper, Senior Policy Advisor, De Nederlandsche Bank
12:20 Lessons from Basel II implementation
• What went well
• How could the implementation process have been improved
• Lessons to be learned for financial institutions and supervisors
Zuzana Silberova, Deputy Executive Director, Czech National Bank
13:00 Lunch
14:00 KEYNOTE ADDRESS
Risk management, Solvency II and volatile markets: lessons learned
• What has worked?
• How can risk management be improved?
• Assessing the business implications
Tom Wilson, Chief Risk Officer, Allianz
14:40 Pillar 1 dialogue between CEIOPS and the industry in 2009
• Consultation Papers giving CEIOPS’ draft advice on the future Level 2
measures
• Timeline for the adoption of the Level 2 measures
• Interaction between CEIOPS and the industry
• What do industry responses to the 2009 Consultation Papers show?
• How will they be taken into account?
Pauline de Chatillon, Chair of Solvency II Financial Requirements Expert Group, CEIOPS
15:20 Some lessons learned about implementing group-wide ERM
• The role of the centre vs operating units
• Economic view vs Statutory view
• Lessons from the financial crisis
Olav Jones, Group Risk Officer, Fortis Insurance
16:00 Afternoon break
16:20 Ensuring operational risk is not the “forgotten risk” of Solvency II
• Quantifying operational risk
• Internal model or standard formula for operational risk
• Stress testing and scenario analysis
Philip Martin, Chairman, Institute of Operational Risk
17:00 PANEL
Beyond capital requirements: the importance of Pillars 2 & 3
• The difference between ORSA and internal models
• Setting the level of disclosure
• Building a culture of risk awareness
