erm in mexico · erm in mexico: insurance companies summarysummary ... valores (cnbv)...
TRANSCRIPT
April 2008
ERM in Mexico: InsuranceCompanies and Banks
Rurik MagosRisk Management Director
Insurance ERM
Irma MedinaTechnical Chief Actuary
1
ERM in Mexico: Insurance Companies
Insurance Market Overview
Regulatory Environment
General Practices
GNP’s Approach to ERM
Summary
AgendaAgenda
3
ERM in Mexico: Insurance Companies
Premium IncomePremium Income
Life Health Pensions P&C Auto
20,000
18,000
16,000
14,000
12,000
10,000
8,000
6,000
4,000
2,000
0
18,666
11,596
9,058
Mill
ion
Dol
lars
Source: CNSF /AMIS Convention 2007
4
ERM in Mexico: Insurance Companies
Balance Sheet Structure (March 2007)Balance Sheet Structure (March 2007)
Catastrophic6.6%
Loss & LAE15.8%
Unearned Premium Reserve77.6%
Loans1.5%
Real Estate2.9%
Securities95.6%
Reserves
Investments
Debtors
40
35
30
25
20
15
10
5
0
Bill
ion
Dol
lars
Assets Liabilities
Other AssetsReinsurance
Equity
Other LiabilitiesReinsurance
Source: CNSF /AMIS Convention 2007
5
ERM in Mexico: Insurance Companies
InvestmentsInvestments
Corporate:
5,34617.5%Fixed Rate
2,3037.5%Equity
2,5188.3%Others
30,538100.0%Total
20,37166.7%Sovereign (MexicanGovernment Bonds)
MillionDollars
Share%
Held to Maturity59.7%
Marked to Market37.8%
Other2.5%
Asset Allocation Accounting Valuation
Source: CNSF /AMIS Convention 2007
7
ERM in Mexico: Insurance Companies
Regulatory Environment: Capital RequirementsRegulatory Environment: Capital Requirements
Factor-Based
Liability-Based Requirements
•Based on Level of Historical Premiums or Claims
•Reinsurers Credit based on Quality (ratings)and Diversification
Asset-Based Requirements
•Credit Risk
ALM-Based Requirements (Life Insurance)
•Currency
•Term
•Interest Rate Level
8
Life: Maximum between Regulatory and Internal Methods
Non-Life
•Internal Sufficiency Methods
Catastrophe
•Regulatory Methodology based on compay exposure
•Probable Maximum Loss Capped
ERM in Mexico: Insurance Companies
Regulatory Environment: ReservesRegulatory Environment: Reserves
Internal Methods:•Historical own experience•Including expected trends•Regulator approval
Regulatory Methods :•Based on “Prudent”assumptions (fixed, same for every company) for:•Discounting•Mortality•Claims•Persistency excluded
9
ERM in Mexico: Insurance Companies
Regulatory Environment: Risk Exposure Limits & ControlsRegulatory Environment: Risk Exposure Limits & Controls
LimitsAssets:a) Covering reserves:Class (e.g. 40% Corporates)
b) CoveringLegal Requirements
CommitteesUnderwriting
Reinsurance
Risk Management
AuditsFinancial
Actuarial
Risk Management
11
ERM in Mexico: Insurance Companies
General PracticesGeneral Practices
Insurers have Traditionally Managed Risk and Return in “Silos”
Efficient Frontier
Risk
ExpectedReturn
Portfolio
14
2411
372210
4530205
Development Year
AccidentYear
CAT Loss
ExceedingProbability
•Underwrite to a Specific
Combined Ratio
•Underwrite to a 1 in X
Year Return Period
•Reinsure to a 1 in Z
Year Return Period
•Invest in an Efficient
Portfolio of Bonds and
Stocks, Independent of
Other Risks
Liability Risk Catastrophe Risk Investment Risk
Companydetermined
PMLRegulatoryPML
13
ERM in Mexico: Insurance Companies
ObjectivesObjectives
Complex Balance Sheet
•Multiline Insurer (Life and Non Life)
•Multiple Currencies
•Multichannel Distribution Model
ERM Objectives:
•Improve Underwriting / Pricing Decisions (Risk-Return Profile)
•Business Planning (e.g. product mix)
•Asset Strategy, given Liabilities (ALM)
•Reinsurance, Derivatives and other Hedging Strategies
•Performance Management (on a risk-adjusted basis)
•In general, Better Informed Decisions about Risk and Capital
14
ERM in Mexico: Insurance Companies
Bottom LineBottom Line
Providing Appropriate
Level and Allocation
of Capital
Providing Appropriate
Level and Allocation
of Capital
Increasing Return on
Capital(Risk –
adjusted)
Increasing Return on
Capital(Risk –
adjusted)
Improving Consistency of
Earnings
Improving Consistency of
Earnings
INCREASE VALUE BY:INCREASE VALUE BY:
Overall Objective: To Increase Enterprise Value
15
ERM in Mexico: Insurance Companies
Integral ApproachIntegral Approach
To Reach this Objective we need to Understand the Full Risk
Environment in which we Operate...
ExternalEnvironment
Economic Conditions
CompetitionSocial/ Legal Trends
Natural Catastrophes
Insurance Risk Trends
Political/Regulatory Climate
Technology
Expansion/Diversification
People /Culture
Underwritting and rating
Distribution
Processes
Risk Appetite
InternalEnvironment
Financial RiskFinancial Risk
Asset RiskAsset Risk
Operational RiskOperational Risk
Liability RiskLiability Risk
Business RiskBusiness Risk
Event RiskEvent Risk
16
ERM in Mexico: Insurance Companies
Integral ApproachIntegral Approach
And the Complete Set of Strategies Available to Us...
Financial Strategies
Pricing / Underwitting
Securitisation
Capital Structure
Product Mix
Asset Allocation
Operational Strategies
Incentive Programs
Technology / M&A
Internal Controls
Distribution
Underwriting
Customer Service
Market Strategy
Hiring/Training
Asset RiskAsset Risk
Liability RiskLiability Risk
Business RiskBusiness Risk
Event RiskEvent Risk
Financial RiskFinancial Risk
Operational RiskOperational Risk
17
ERM in Mexico: Insurance Companies
Integral ApproachIntegral Approach
And to Apply this Knowledge in a Holistic Risk Management Framework,
to Drive Value.
HolisticallyManage
Financial and Operational
Risks
HolisticallyManage
Financial and Operational
Risks
Optimize Financial and Operational Strategies
Understand Internal and External Environment
Cap
ital
Ret
urn
Con
sist
enc
y
Increase Value
18
ERM in Mexico: Insurance Companies
Implementation Approach: Balance Sheet ValuationImplementation Approach: Balance Sheet Valuation
Economic Approach
Market Value of Assets
Fair Value of Liabilities
•Best Estimates (Mean) of All Contractual Cash Flows.
•Current Market Discount Rates that Adjust the Estimated Future Cash Flowsfor the Time Value of Money.
•(Plus) Market Risk Margin, several approaches are being tested:
Historical Profit Margins (Mexican Market).
Cost of Capital Approach
Utility / Risk Aversion Theory
19
Cost of Capital Approach:
ERM in Mexico: Insurance Companies
Implementation Approach: Balance Sheet ValuationImplementation Approach: Balance Sheet Valuation
[ ]AEAL RRLERR −⎟⎠⎞
⎜⎝⎛−=
Utility Theory:
WealthDistribution
MeanMarketValue(CertaintyEquivalent)
UtilityFunction
Wealth
Utility
ExpectedUtility
20
ERM in Mexico: Insurance Companies
Implementation Approach: Balance Sheet ValuationImplementation Approach: Balance Sheet Valuation
Assets
Equity
Liabilities
Statutory / AccountingBalance Sheet
•Mix ofMarket andBook Values
•PrudentialMargins
•RegulatoryValuation
Assets
EconomicCapital
Best Estimate
Economic Balance Sheet
•Market Value •Best Estimate Basis
•Market Risk Margin
•Market-ConsistentValuation
RiskMargin
ExcessCapital
21
ERM in Mexico: Insurance Companies
Implementation Approach: Risk MeasurementImplementation Approach: Risk Measurement
Marginal Risk Management
Market
Credit
Insurance
Joint Market & Insurance
Risks
Current
All Relevant Risks in a Joint and
Consistent Manner
Future
22
ERM in Mexico: Insurance Companies
Market RiskMarket Risk
Assessment Period: 1 Year
Replicating Portfolios for Assets and Liabilities, based on Duration andConvexity.
Return on Equity can be expressed as the Return on a Portfolio of FinancialAssets:
⎟⎠⎞
⎜⎝⎛−⎟
⎠⎞
⎜⎝⎛=
ELR
EARR LAE
Fair Value
Replicating Portfolios
Risk Measures:
•Equity VaR
•Risk Attribution
Business Unit
Balance Sheet Item
•Equity Duration
23
ERM in Mexico: Insurance Companies
Insurance RiskInsurance Risk
Non-Life
•Frequency, Severity and Total Loss Distributions
Sufficient
Regulatory Reserve
Life
•Best Estimates
•Stress Testing
Regulatory Reserve +
Capital
24
ERM in Mexico: Insurance Companies
Market and Insurance RiskMarket and Insurance RiskAssessment Period:
•Runoff Approach for Single Business Unit / Product Assessment.
•One-Year Approach for Aggregation / Comparison Purposes.
Quantification Method:
•Stochastic Modelling.
•Multifactor Scenario Generator.
•Risk Aggregation using Gaussian Copula Models.
Risk Measures:
•Economic Capital
•Probability of Ruin
•Risk Attribution
Risk Type
Business Unit
Balance Sheet Item
26
ERM in Mexico: Insurance Companies
SummarySummary
Mexican Insurance Market Evolving Towards Best Practices in ERM
Economic Approach will Facilitate:
•Improved Understanding of Risks
•Better Risk Management
•Avoid Costly Mistakes that may hurt the Solvency of the Insurer
•Better Informed Decisions about Risk and Capital
•Ultimately Improve the Risk-Adjusted Business Performance
There’s still a Lot of Work to be Done
Mexico´s Enterprise Risk Management (ERM) Regulations
BANKS STOCKBROKERS PENSION FUND MANAGERS INSURANCE CO. RETIREMENT FUNDS
ALL COMPANIES LABOR OBLIGATIONS
(RESERVES)
BANKS´ UNIVERSAL REGULATION
CIRCULAR ÚNICA DE BANCOS (CUB) Capítulo IV
art. 65 al 87, Comisión Nacional Bancaria y de
Valores (CNBV)
STOCKBROKERS´ UNIVERSAL
REGULATION. CIRCULAR ÚNICA DE CASAS DE BOLSA (CUCB) Capítulo III art. 121 al
145 (CNBV)
CONSAR 62-1 Regulation CIRCULAR
CONSAR 62-1 RM rules for Retirement Fund Managers,
Retirement Funds,... Comisión Nacional del
Sistema de Ahorro para el Retiro (CONSAR)
S11.6 Regulation CIRCULAR S-11.6 Comisión
Nacional de Seguros y Finanzas (CNSF)
CONSAR 62-1 Regulation
BOLETÍN D3 Rules for Labor related contingent
liabilities´valuation
CUB´s Annex 12 ANEXO 12 Risk
Managenment topics that need to be evaluated
CUCB´s Annex 1 ANEXO 1 Risk Management topics that
need to be evaluated
CONSAR 15-19 Regulation CIRCULAR 15-
19 Investment rules for retirement funds
CONSAR 15-19 Regulation
4/2006 Regulation CIRCULAR 4/2006 Banco de
México (BANXICO) Regulations for financial derivatives operations
4/2006 Regulation CIRCULAR 4/2006 BANXICO Rules for banks, stockbrokers, retirement funds, and non bank
banks (SOFOLES) for derivatives operations.
4/2006 Regulation CIRCULAR 4/2006 BANXICO
Rules for banks, stockbrokers, retirement
funds, and non bank banks (SOFOLES) for derivatives
operations.
C-10 Regulation BOLETÍN C-10 Comisión de Principios de Contabilidad
(COP) Accounting Principles for derivatives and hedging
operations
C-10 Regulation C-10 Regulation C-10 Regulation C-10 Regulation
C-15 Regulation BOLETÍN C-15 Impairment of
long term assets and Goodwill
C-15 Regulation C-15 Regulation C-15 Regulation C-15 Regulation
MEXICO´S RELEVANT RISK MANAGEMENT REGULATIONSBANKS, STOCKBROKERS, INSURANCE COMPANIES, FUND MANAGERS, ENTERPRISES
Página 3Mexico´s ERM RegulationsPricewaterhouseCoopers
UNIVERSAL REGULATIONS (CUB, CUCB)FOR BANKS AND STOCKBROKERS
RISK MANAGEMENT REGULATIONS
Chapter IV from CUBChapter III from CUCB
Issued by Comisión Nacional Bancaria y de Valores (CNBV)
Página 4Mexico´s ERM RegulationsPricewaterhouseCoopers
Topics covered: Risk Management Regulations
First SectionFirst SectionObjectives.Objectives.
••ERM ObligationERM Obligation
••Risk ClassesRisk Classes
Second SectionSecond Section
Bodies and administrativeBodies and administrativeunits responsible for ERMunits responsible for ERMfunctions:functions:
••BoardBoard
••CEOCEO
••Risk CommeeteeRisk Commeetee
••ERM UnitERM Unit
••Audit DepartmentAudit Department
Third SectionThird Section
Objectives, policies,Objectives, policies,Procedures ManualsProcedures Manuals
Scope: Scope:
••Risk ProfileRisk Profile
••ERM Unit StructureERM Unit Structure
••Responsibilities & powersResponsibilities & powers
••Risk classificationhRisk classificationh
••Global and specific limitsGlobal and specific limits
••Reports forms & PeriodicityReports forms & Periodicity
••Internal ControlsInternal Controls
Página 5Mexico´s ERM RegulationsPricewaterhouseCoopers
Fourth SectionFourth Section
RM by Risk Class :RM by Risk Class :
••Credit RiskCredit Risk
••In generalIn general••Limit Setting Policies & Limit Setting Policies & ProceduresProcedures••Credit Portfolio Monitoring & Credit Portfolio Monitoring & ControlControl••To analize consolidated Credit To analize consolidated Credit Risk (Lending & Securities Risk (Lending & Securities Portfolios)Portfolios)••Portfolio ConcentrationPortfolio Concentration••Portfolio EvolutionPortfolio Evolution••Default Probabilities Default Probabilities EstimationEstimation••Expected Losses estimatesExpected Losses estimates••Unexpected losses estimatesUnexpected losses estimates••Comparing estimated and Comparing estimated and observed lossesobserved losses
Third Section (cont.)Third Section (cont.)
Objectives, policies,Objectives, policies,Procedures manualsProcedures manuals
The following aspectsThe following aspectsMust be considered:Must be considered:
••Approval processesApproval processes
••Contingency PlansContingency Plans
••Authorizations Authorizations for limit excessesfor limit excesses
Fourth SectionFourth Section
••Credit RiskCredit Risk
••Credit Portfolio ManagementCredit Portfolio Management••Portfolio ConcentrationPortfolio Concentration••Portfolio EvolutionPortfolio Evolution••Default Probabilities EstimationDefault Probabilities Estimation••Expected Losses estimatesExpected Losses estimates••Unexpected losses estimatesUnexpected losses estimates••Comparing estimated and Comparing estimated and observed lossesobserved losses
Topics covered: Risk Management Regulations
Página 6Mexico´s ERM RegulationsPricewaterhouseCoopers
Fourth Section (cont.)Fourth Section (cont.)
••Liquidity RiskLiquidity Risk
••Monitor liquidity by cash flow Monitor liquidity by cash flow gapsgaps••Funding alternatives Funding alternatives diversificatriondiversificatrion••Expected losses by Expected losses by anticipated sales of securitiesanticipated sales of securities••Model calibrationModel calibration••Plan for unexpected liquidity Plan for unexpected liquidity requirementsrequirements••Stress tests under extreme Stress tests under extreme scenariosscenarios
Fourth Section (cont.)Fourth Section (cont.)
••Market RiskMarket Risk
••Monitor Market Risk PortfolioMonitor Market Risk Portfolio••Look up for consistency among Look up for consistency among market risk modelsmarket risk models••BacktestingBacktesting••Stress testingStress testing
Fourth Section (cont.)Fourth Section (cont.)
••Credit RiskCredit Risk
••Securities including Securities including DerivativesDerivatives
••Appropiate Control DesignAppropiate Control Design••Estimate Risk exposure for all Estimate Risk exposure for all securities & derivativessecurities & derivatives••Default Probabilities EstimationDefault Probabilities Estimation••Analize recovery valuesAnalize recovery values••Stress tests under extreme Stress tests under extreme scenariosscenarios
Topics covered: Risk Management Regulations
Página 7Mexico´s ERM RegulationsPricewaterhouseCoopers
Fourth Section (cont.)Fourth Section (cont.)
••Operational RiskOperational Risk
••Process Identification & Process Identification & DocumentationDocumentation••Risk Identification & Risk Identification & documentationdocumentation••Quarterly ReportsQuarterly Reports••Acceptance & Tolerance Acceptance & Tolerance LevelsLevels••Actions in case of lossesActions in case of losses
Fourth Section (cont.)Fourth Section (cont.)
••Technological RiskTechnological Risk
••Evaluate systems vulnerabilityEvaluate systems vulnerability••Control implementationControl implementation••Controls for electronic bankingControls for electronic banking••Analize TI events that could Analize TI events that could impact normal operationsimpact normal operations
Fourth Section (cont.)Fourth Section (cont.)
••Market Risk (cont.)Market Risk (cont.)
••Hedging InstrumentsHedging Instruments
••Monitor MtM changes as market Monitor MtM changes as market risk changesrisk changes••Consistency among valuation Consistency among valuation modelsmodels••BacktestingBacktesting••Historical data on risk factorsHistorical data on risk factors••Stress TestingStress Testing
Topics covered: Risk Management Regulations
Página 8Mexico´s ERM RegulationsPricewaterhouseCoopers
Fifth Section Fifth Section
••DisclosureDisclosure
••Timely, accurate and integral Timely, accurate and integral ReportsReports•• Levels and frequency of Levels and frequency of reportsreports
ANNEX 12 CUB & ANNEX 12 CUB & ANNEX 1 CUCBANNEX 1 CUCB
••Technical evaluation of Risk Technical evaluation of Risk ModelsModels
••Model adecuacyModel adecuacy••Model parameters statistical Model parameters statistical confidenceconfidence••Risk factor adequacyRisk factor adequacy••Backtesting sufficiencyBacktesting sufficiency••Consistency between internal Consistency between internal model valuations and market model valuations and market pricesprices••Model Predictive capacity Model Predictive capacity ••Model accuracyModel accuracy
Fourth Section (cont.)Fourth Section (cont.)
••Legal RiskLegal Risk
••Policies & procedures in case of Policies & procedures in case of legal eventslegal events••Legal resolutions loss estimatesLegal resolutions loss estimates••Differences among legal systemsDifferences among legal systems••Inform managerial levels on new Inform managerial levels on new regulationsregulations••Inform on legal auditsInform on legal audits••DB of legal resolutionsDB of legal resolutions
Topics covered: Risk Management Regulations
Página 9Mexico´s ERM RegulationsPricewaterhouseCoopers
Regulation 4/2006
APPLIES TO BANKS, STOCKBROKERS, FUND MANAGERSAND NON BANK BANKS
RISK MANAGEMENT REQUIREMENTS TO OPERATEDERIVATIVE FINANCIAL INSTRUMENTS
Issued by BANXICO
Página 10Mexico´s ERM RegulationsPricewaterhouseCoopers
Topics covered: Regulation 4/2006 on Derivatives
31 Risk Management 31 Risk Management RequirementsRequirementsAdministrative•Board and CEO Approval for:
• Objectives, goals and procedures• Risk Limits• Procedures for new product approval
•Risk Management Unit• Measure and monitor Market &
Credit Risks• Communicate when limits are
exceeded• Report to CEO and periodically to the
Board
•Risk Committee and CEO to monitor market, credit, liquidity and other relevant risks
•Contingency Plan
•Code of Ethics
•Continuous learning Plan
31 Risk Management 31 Risk Management RequirementsRequirements
Operations• All areas must define objectives
and limits
• At least two competent traders
• RM and Operations must have systems fo follow up trades
• Front Office must have a system to follow up trades and limits
• RM Unit follow up operations in real time
• Front office and RM Unit to implement risk measurement models according to state of the art technology
31 Risk Management 31 Risk Management RequirementsRequirements
Internal Control• Trading and back office
activities clearly defined and separated
• All Personel functions and activities must be clearly defined in manuals
• Procedures to properly document all trasactions
• Clearly defined criteria to set customer operation limits
• Procedures to assure operational support and control for all operations
• Internal Audit will review compliance once a year
• Systems back ups
Página 11Mexico´s ERM RegulationsPricewaterhouseCoopers
Topics covered: Regulation 4/2006 on Derivatives
31 Risk Management 31 Risk Management RequirementsRequirements
Internal Control• RM Unit to have access to front
& back office systems to measure risk and inform
• Manuals to include procedures for detailed operation confirmation and follow up for unsettled or unconfirmed
• Only Back office will confirm operations with counterparties
• Procedures to verify documentation during operations´life
31 Risk Management 31 Risk Management RequirementsRequirements
Internal Control• Risk models to be validated by
independent experts at least once a year
• RM Unit to value operations with market prices and data from independent sources
• Back office to daily check its records vs accounting and traders positions
• Accounting entries according to regulations on the subject
• Settlement done by back office after detailed verification and proper authorisations
31 Risk Management 31 Risk Management RequirementsRequirements
Internal Control• Written procedures to
investigate non setlled operations
• Written procedures for collateral use when required
• Procedures to verify Master Agreements and other legal documents
Página 12Mexico´s ERM RegulationsPricewaterhouseCoopers
CONSAR 62-1 Regulation
Applies to Retirement Fund Managers, …
RISK MANAGEMENT REQUIREMENTS
Issued by Comisión Nacional del Ahorro para el Retiro (CONSAR)
Página 13Mexico´s ERM RegulationsPricewaterhouseCoopers
Topics covered: CONSAR 62-1 Regulation
II General Support StructuresII General Support Structures
•Operational Risk Committee
•Financial Risk Committee
•Risk Management Unit
CNSAR 62CNSAR 62--1 Structure1 Structure
I Objectvives & DefinitionsI Objectvives & Definitions
II General Support StructuresII General Support Structures
III On Retirement Fund III On Retirement Fund ManagersManagers
IV Operational Risk ManagementIV Operational Risk ManagementFor Fund ManagersFor Fund Managers
V Financial Risk ManagementV Financial Risk Management
VI On the ComptrollerVI On the Comptroller´́s roles role
VII On DB Manging CompaniesVII On DB Manging Companies
III On Retirement Fund III On Retirement Fund ManagersManagers
•Operatitional Risk Management
•Financial Risk Management
•Board Responsibilities
•Risk Management Committee
•Financial Risk Committee
•Risk Management Unit
Página 14Mexico´s ERM RegulationsPricewaterhouseCoopers
V Financial Risk ManagementV Financial Risk ManagementFor Fund ManagersFor Fund Managers
•Financial Risk
•Credit Risk
•Liquidity Risk
•Market Risk
•Information & Reports
•Best Practices
•Policies & Procedures Manualfor Financial Risk
IV Operational Risk ManagementIV Operational Risk ManagementFor Fund ManagersFor Fund Managers
•Operational Risk Management•Cuantitative•Internal Control
•Legal Risk
•Technological Risk
•Risk related to third partiesproviding services to FM
•Policies & Procedures Manualfor Operational Risk
VI On the ComptrollerVI On the Comptroller´́s roles role
•Monitoring Compliance
•External Indepentent Expert annual review
•CONSAR Certification regarding Operational Risk
VII On DB Manging CompaniesVII On DB Manging Companies
•Board Responsibilities
•Risk Management Committee
•Risk Management Unit
•Operational, Legal, & Tech Risk
•Policies & Procedures Manuals
•Comptroller´s role
Topics covered: CONSAR 62-1 Regulation
Página 15Mexico´s ERM RegulationsPricewaterhouseCoopers
CONSAR 15-19 Regulation
Applies to Retirement Funds
DEFINES TYPES OF RETIREMENT FUNDSBY RISK LEVEL
Issued by Comisión Nacional del Ahorro para el Retiro (CONSAR)
Página 16Mexico´s ERM RegulationsPricewaterhouseCoopers
Common RequirementsCommon RequirementsGeneral IssuesCredit QualityRisk Parameters for Retirement FudsSecuritiesRetirement Funds´ Investment Policies according to Risk Appetite. Selection of appropiate Fund according to Investor´s profile
Retirement Fund 1Retirement Fund 1Characteristics (Lowest Risk, 56+)Securities & Operations PermittedRisk Parameters
Retirement Fund 2Retirement Fund 2Characteristics (Low Risk, 46-56)Securities & Operations PermittedRisk Parameters
Retirement Fund 3Retirement Fund 3Characteristics (Medium Risk, <20% stocks, VaR 1.3%NAV, 37-46)Securities & Operations PermittedRisk Parameters
Retirement Funds 4, 5Retirement Funds 4, 5Characteristics (Medium to High Risk, <30% stocks, VaR 2% NAV, <37, 27)Securities & Operations PermittedRisk Parameters
Topics covered: CONSAR 15-19 Regulation
Página 17Mexico´s ERM RegulationsPricewaterhouseCoopers
CNSF S 11.6 Regulation
Applies to Insurance Companies
RISK MANAGEMENT PRACTICES
Issued by Comisión Nacional de Seguros y Fianzas (CNSF)
Página 18Mexico´s ERM RegulationsPricewaterhouseCoopers
DefinitionsRisk ManagementCredit Risk Legal RiskLiquidity RiskMarket RiskOperational Risk
General TermsRisk LimitsPolicies & ProceduresRisk Management Unit ResponsibilitiesIdentifify, Measure, Monitor, Limit, Control, Inform on quantifiable and non-quantifyable risks
Board of Directors ResponsibilitiesRisk Committee
Authorise excess limits
Authorise Risk Committee , and Risk Unit responsibilities
Authorise Policies and Procedures Manuals, Models, etc.
On the Risk Management Policies & Procedures Manual
ContentsRisk Unit & CEO Responsibilities
On the RM responsibilities for Internal Comptroller, Internal Audit, Independent Expert Review.
On Risk Management by Risk Type
Credit RiskLegal RiskLiquidity RiskMarket RiskOperational Risk
Disclosure Requirements: General Public & Authorities
Topics covered: CNSF S11.6 Regulation