The Solvency II Handbook

The Solvency II Handbook brings together some of the best known and most renowned experts in insurance risk management to provide a detailed examination of the main requirements and impacts of Solvency II to insurers and reinsurers.

Marcelo Cruz brings together highly regarded practitioners and academics working in the Solvency II area to provide a practical guide for implementing internal models the focus of Pillar I and the area demanding greater attention in preparing for Solvency II. The book also gives practical examples for the key areas outlined throughout the three pillars of Solvency II, taking a close look at insurance risk, market risk, credit risk, liquidity risk and operational risk.

The Solvency II framework directive was approved in 2009 2Q by the European Parliament, and the insurance industry must now move quickly with their preparations to be compliant with this framework by 2012 3Q. As Solvency II allows insurers to use internally developed models for measuring risks for the first time, this is quite a challenge for these companies. Solvency II follows Basel II s similar three-pillar structure, which will regulate risk measurement requirements, supervisor review and market discipline and disclosure. The demands for Solvency II are quite extensive and will change the insurance industry worldwide with better risk assessment and mitigation and much higher financial and risk disclosure details.

The Solvency II Handbook provides an introduction and deeper look into the Solvency II framework, exploring in detail the current practices within the insurance industry and the impact of Solvency II; looking at what the issues and challenges of building an internal model are, risk management implementation as it is and, crucially, the regulatory perspective on calculating solvency capital requirements. The book then moves onto explore in greater depth how to measure and manage financial risk, insurance risk, operational risk as well as providing key chapters on economic capital and hedging.

From now until 2012 the relevant regulatory bodies will be looking to govern and approve company s internal models. This must-read book is essential to all insurers and reinsurers who are currently in the process of choosing between using the standard formula or, in particular, developing their own internal risk management framework.

For practitioners and regulators, this is a one-stop reference tool that contains the most up-to-date thinking on internal modelling ideas and how to prepare for Solvency II compliance. The Solvency II Handbook is the only book currently on the market that focuses solely on this subject.

Marcelo Cruz is an adjunct professor at New York University and a senior risk consultant. Formerly he was the group chief risk officer of Aviva, the UK s largest insurer and asset manager. Previously Marcelo was global head of operational risk analytics and quantitative risk analytics at Lehman Brothers and was the managing director and founder of RiskMaths, a boutique consultancy focused on risk management and more specifically operational risk. He also previously worked at UBS AG for three years as head of operational risk. Before UBS Marcelo worked as a chief economist/strategist for an investment bank and as a derivatives trader (fixed income) for JP Morgan, where he was involved in structuring, managing and trading fixed income derivatives. Marcelo wrote one of the best selling books in risk management ( Modeling, Measuring and Hedging Operational Risk, Wiley 2002), and has written and edited other books in risk management. He is the founder editor-in-chief of The Journal of Operational Risk and sits on the board of other publications. Marcelo was also part of the GARP Board of Trustees. He holds a PhD in Mathematics from the Imperial College in London, a MSc in Financial Mathematics, an MBA and a BSc in Economics.