Impact of NAIC C1 Bond Changes
The sessions will feature thought leaders from the Insurance industry and Moody’s to discuss the implications of NAIC C1 changes on RBC capital, Credit Portfolio Management (CPM) and asset allocation
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Agenda shown in EDT.
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Agenda
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10:00
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10:05
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10:50
Panel Discussion: Impact of NAIC C1 changes on credit analysis and asset allocation
- How should Insurers assess impact of the new C1 changes on their portfolio and RBC?
- What are the implications of C1 changes on Credit Portfolio Management?
- How should Insurer’s incorporate the impact of C1 Bond and real estate changes in their strategic allocation process?
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11:35
End
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SpeakersMark Abbot Managing Director, Head of Analytics and Reporting Guardian Life
Christopher Halldorson Head of Financial Markets Risk Group PrudentialCHGordon Huellmantel Senior Vice President and Head of Finance Lincoln Financial Group
Srini Iyer Senior Director-Market Strategy & Business Development Moody's Analytics
Colin Holmes General Manager Moody's Analytics
Amnon Levy Managing Director Moody's Analytics
Phil Mowbray Senior Director Moody's Analytics
Pierre Xu Director - Research Moody's Analytics
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Colin is General Manager of Insurance Solutions at Moody’s Analytics. The bulk of Colin’s career has been spent in financial risk management with Barrie & Hibbert (B&H) and Moody’s Analytics. During his time at B&H, Colin had a broad involvement across the business, working within a range of technical, management and customer-focused roles, in the UK, Europe and the US. The business’ growth resulted in the acquisition of B&H by Moody’s Analytics in 2011. Since joining Moody’s Analytics, Colin has been involved across the ERS Insurance business, focused on implementation services. In his current role, Colin has overall responsibility for the Enterprise Risk Solutions business in the insurance sector.
Dr. Amnon Levy is a Managing Director in the Research and Modeling Group of Moody’s Analytics. He Heads the Portfolio and Balance Sheet Research group that is responsible for designing quantitative solutions and provides services related to Moody’s Analytics credit portfolio, capital management, asset-liability management, credit valuation, impairment and stress testing solutions. The team designs solutions that bring together regulatory requirements, accounting standards and economic risks in credit valuation, and portfolio, capital and balance sheet management. The team is developing credit portfolio models that incorporate emerging risks including pandemics, cyber, climate hazards. Most recently, the team has been collaborating with the ACLI and NAIC on potential revisions to RBC C1 bond factors; credit component of regulatory capital for life insurers. Dr. Levy holds a B.A. in Economics from the University of California at Berkeley and a Ph.D. in Finance from the Kellogg Graduate School of Management, Northwestern University. Prior to joining Moody’s Analytics (originally KMV), Dr. Levy was a visiting assistant professor at the Stern School of Business, New York University, and the Haas School of Business, University of California at Berkeley, and had worked at the Board of Governors of the Federal Reserve System. Dr. Levy’s research has been widely published in academic and practitioner journals including American Banker, The Journal of Financial Economics, Journal of Monetary Economics, Journal of Banking and Finance, Journal of Risk Model Validation, and contributed to a number of books, including chapters in CCAR and Beyond - Capital Assessment, Stress Testing and Applications, and The New Impairment Model Under IFRS 9 and CECL. He is also the co-editor of "Credit Risk Measurement and Management: Disruption and Evolution," a best-selling Risk Books publication.
Mark C. Abbott, PRM, FRM joined Guardian in 2001 and is managing director and head of analytics and reporting for Guardian Life. He is responsible for investment risk analytics, capital market assumptions, asset allocation, ALM solutions and reporting to Guardian’s senior management and board, as well as regulators and ratings agencies. He has 40 years of experience at BlackRock, Barra, Global Advanced Technology, Drexel Burnham Lambert, Arbitrage Software, Wrightson Hedge Management and Merrill Lynch. He was president of the Global Association of Risk Professionals (GARP) Buy Side Risk Managers Forum, a board director of the Professional Risk Managers’ International Association (PRMIA) and serves on professional or advisory committees. Mark holds an M.A. in mathematical statistics from Columbia University, a B.A. from Columbia College, PRMIA’s Professional Risk Manager (PRM) designation and GARP’s Financial Risk Manager (FRM) designation.
Gordon is Senior Vice President within the firm’s General Account Investment Management Team with primary responsibility for financial operations. Prior to t his role he was Head of Portfolio Management within the firm’s General Account Investment Management Team with responsibility of Portfolio Management. Before joining Lincoln Financial in 2007, he spent eight years in the financial planning and mutual fund industry with Vanguard, where his duties included providing advice and managing assets for high net worth individuals. Huellmantel earned his bachelor's degree in finance and marketing from the University of South Carolina. He is a member of the CFA Institute, CFA North Carolina Society, and Society of Financial Service Professionals
Srini Iyer is a Senior Director in the Insurance Strategy team at Moody’s Analytics. In this capacity, he helps insurers across the globe interpret and implement solutions for emerging risks such as Climate, ESG and Cyber. More broadly, Srini has over fifteen years of experience working in risk management, asset modelling and financial reporting.
Pierre Xu is a director in the Research and Modeling Group of Moody’s Analytics. He heads the Portfolio Risk Analytics team under Portfolio and Balance Sheet Research responsible for the design and implementation of credit portfolio and capital management solutions across a broad range of global financial institutions. Pierre and his team have pioneered approaches to managing portfolio risk in the face of a constraining regulatory environment. More recently, his team’s research has focused on modelling rating migration under Covid-19, constrained credit portfolio optimization, quantification of risk appetite in risk-based limits, and portfolio design under CECL and IFRS 9. He holds a Ph.D. in Economics from Louisiana State University, an MFE from the University of California at Berkeley, and a BA in Finance from Fudan University.
Phil Mowbray is a Senior Director at Moody’s Analytics. He had been with Barrie & Hibbert for 13 years, working in a number of roles focusing on the measurement and management of financial market risk for a range of institutional and retail clients, prior to the company being acquired by Moody’s Analytics. At Moody’s Analytics he continues to focus on the application of financial risk modelling capability to support improved financial planning for retail investors. He is a regular contributor to the pensions press and often speaks at industry events.
Mark C. Abbott, PRM, FRM joined Guardian in 2001 and is managing director and head of analytics and reporting for Guardian Life. He is responsible for investment risk analytics, capital market assumptions, asset allocation, ALM solutions and reporting to Guardian’s senior management and board, as well as regulators and ratings agencies. He has 40 years of experience at BlackRock, Barra, Global Advanced Technology, Drexel Burnham Lambert, Arbitrage Software, Wrightson Hedge Management and Merrill Lynch. He was president of the Global Association of Risk Professionals (GARP) Buy Side Risk Managers Forum, a board director of the Professional Risk Managers’ International Association (PRMIA) and serves on professional or advisory committees. Mark holds an M.A. in mathematical statistics from Columbia University, a B.A. from Columbia College, PRMIA’s Professional Risk Manager (PRM) designation and GARP’s Financial Risk Manager (FRM) designation.
Gordon is Senior Vice President within the firm’s General Account Investment Management Team with primary responsibility for financial operations. Prior to t his role he was Head of Portfolio Management within the firm’s General Account Investment Management Team with responsibility of Portfolio Management. Before joining Lincoln Financial in 2007, he spent eight years in the financial planning and mutual fund industry with Vanguard, where his duties included providing advice and managing assets for high net worth individuals. Huellmantel earned his bachelor's degree in finance and marketing from the University of South Carolina. He is a member of the CFA Institute, CFA North Carolina Society, and Society of Financial Service Professionals
Srini Iyer is a Senior Director in the Insurance Strategy team at Moody’s Analytics. In this capacity, he helps insurers across the globe interpret and implement solutions for emerging risks such as Climate, ESG and Cyber. More broadly, Srini has over fifteen years of experience working in risk management, asset modelling and financial reporting.
Colin is General Manager of Insurance Solutions at Moody’s Analytics. The bulk of Colin’s career has been spent in financial risk management with Barrie & Hibbert (B&H) and Moody’s Analytics. During his time at B&H, Colin had a broad involvement across the business, working within a range of technical, management and customer-focused roles, in the UK, Europe and the US. The business’ growth resulted in the acquisition of B&H by Moody’s Analytics in 2011. Since joining Moody’s Analytics, Colin has been involved across the ERS Insurance business, focused on implementation services. In his current role, Colin has overall responsibility for the Enterprise Risk Solutions business in the insurance sector.
Dr. Amnon Levy is a Managing Director in the Research and Modeling Group of Moody’s Analytics. He Heads the Portfolio and Balance Sheet Research group that is responsible for designing quantitative solutions and provides services related to Moody’s Analytics credit portfolio, capital management, asset-liability management, credit valuation, impairment and stress testing solutions. The team designs solutions that bring together regulatory requirements, accounting standards and economic risks in credit valuation, and portfolio, capital and balance sheet management. The team is developing credit portfolio models that incorporate emerging risks including pandemics, cyber, climate hazards. Most recently, the team has been collaborating with the ACLI and NAIC on potential revisions to RBC C1 bond factors; credit component of regulatory capital for life insurers. Dr. Levy holds a B.A. in Economics from the University of California at Berkeley and a Ph.D. in Finance from the Kellogg Graduate School of Management, Northwestern University. Prior to joining Moody’s Analytics (originally KMV), Dr. Levy was a visiting assistant professor at the Stern School of Business, New York University, and the Haas School of Business, University of California at Berkeley, and had worked at the Board of Governors of the Federal Reserve System. Dr. Levy’s research has been widely published in academic and practitioner journals including American Banker, The Journal of Financial Economics, Journal of Monetary Economics, Journal of Banking and Finance, Journal of Risk Model Validation, and contributed to a number of books, including chapters in CCAR and Beyond - Capital Assessment, Stress Testing and Applications, and The New Impairment Model Under IFRS 9 and CECL. He is also the co-editor of "Credit Risk Measurement and Management: Disruption and Evolution," a best-selling Risk Books publication.
Phil Mowbray is a Senior Director at Moody’s Analytics. He had been with Barrie & Hibbert for 13 years, working in a number of roles focusing on the measurement and management of financial market risk for a range of institutional and retail clients, prior to the company being acquired by Moody’s Analytics. At Moody’s Analytics he continues to focus on the application of financial risk modelling capability to support improved financial planning for retail investors. He is a regular contributor to the pensions press and often speaks at industry events.
Pierre Xu is a director in the Research and Modeling Group of Moody’s Analytics. He heads the Portfolio Risk Analytics team under Portfolio and Balance Sheet Research responsible for the design and implementation of credit portfolio and capital management solutions across a broad range of global financial institutions. Pierre and his team have pioneered approaches to managing portfolio risk in the face of a constraining regulatory environment. More recently, his team’s research has focused on modelling rating migration under Covid-19, constrained credit portfolio optimization, quantification of risk appetite in risk-based limits, and portfolio design under CECL and IFRS 9. He holds a Ph.D. in Economics from Louisiana State University, an MFE from the University of California at Berkeley, and a BA in Finance from Fudan University.