IAIS standards relevant to investment risk 
               IAIS standards relevant to investment risk 
               management
               management
    
                   • Insurance Core Principles (in particular ICP9, 10, 11,          
                      
                               18, 21, 22, 23)  Oct 03  
                   • Framework paper and Cornerstones paper  Oct 05 
                   • Principles on capital adequacy and solvency Jan 02 
                   • Supervisory standard on asset management by 
                     insurance companies  Dec 99 
                   • Supervisory standard on derivatives Oct 98 
                   • Supervisory standard on disclosures concerning investment performance for life and 
                    non-life insurers Oct 05 
        IAIS 
        IAIS 
     Guidance 
     Guidance 
     paper on 
     paper on 
    investment 
     investment    • Stress testing by insurers guidance paper  Oct 04 
       risk 
       risk 
    management
    management     • Investment risk management guidance paper  Oct 05 
     November 
    2005                                                                                         2
    Makoto Okubo
               Contents
               Contents
    
                  1. Investment management
                  2. Investment risk management 
                        framework
                  3. Market risk / Credit risk / Liquidity risk
                  4. Supervisory considerations
                  5. Information from the insurer to 
        IAIS 
        IAIS            supervisor
     Guidance 
     Guidance 
     paper on 
     paper on 
    investment 
     investment 
       risk 
       risk 
    management
    management
     November 
    2005                                                                                         3
    Makoto Okubo
               1. Investment management by insurers
               1. Investment management by insurers
    
                 Manage its assets in a sound and prudent 
                 manner, taking account of:
                          •     Profile of its liabilities
                          •     Solvency position
                          •     Complete risk-return profile
                                  − Product and underwriting policies
        IAIS                      − Reinsurance policies
        IAIS 
     Guidance 
     Guidance 
     paper on 
     paper on                     − Asset liability management policies
    investment 
     investment 
       risk 
       risk 
    management
    management                    − Solvency level policies
     November 
    2005                          − Investment management policies                               4
    Makoto Okubo
               Investment management by insurers
               Investment management by insurers
    
                 Investment policies would be expected to 
                 address:
                      •   Asset and liability considerations
                      •   Financial market environment
                      •   Eligible asset classes
                      •   Amount of delegated limits by management level
                      •   Strategic asset allocation
                      •   Conditions under which the insurer can pledge or lend 
                          assets
                      •   Maximum allowed deviation from strategic asset allocation
        IAIS 
        IAIS          •   Capital considerations
     Guidance 
     Guidance 
     paper on 
     paper on         •   Solvency and liquidity considerations
    investment 
     investment 
       risk 
       risk           •   Concentration risk
    management
    management
     November         •   Risk parameters
    2005                                                                                         5
    Makoto Okubo
                2. Investment risk management 
                2. Investment risk management 
                framework
                framework
    
                 Investment risk management framework 
                 should adhere to any regulatory 
                 requirements in relation to:
                       • Investment policies
                       • Asset mix                                                  ST Index
                       • Valuation
                       • Diversification
         IAIS 
        IAIS 
     Guidance 
     Guidance          •
     paper on 
     paper on              Asset liability matching
     investment 
     investment 
        risk 
        risk 
    management
    management         • Risk management
     November 
    2005                                                                                             6
    Makoto Okubo