This session aims at explaining the evolution of the interest rate capital requirement under the current formula versus the new formula following the SII review and how the deficiencies have been addressed.

Participants are expected to have some basic knowledge on Solvency II and interest rate risk.

Technical Requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure that you are joining the web session with a stable internet connection.

The purpose is to explain how the current SCR interest has been calibrated based on Principal Component Analysis and the need for changes in a low interest environment. We will then describe the new relative shifted approach and preliminary impact assessments. We will also address the question on the change in interest rate volatility in a very high or very low interest rate environment.

The language of the web session will be English.

Daphné de Leval
Daphné has about 20 years of professional experience. She is mainly specialized in life insurance actuarial techniques, pension funds and risk management. She has worked on diverse functions: Solvency II implementation, risk management, financial and prudential audit, IFRS 17 implementation, Sustainability Projects and M&A. She is an active Actuary at European level within the Actuarial Association of Europe (AAE) (Vice-Chair Insurance Committee, Solvency II, and Sustainability).