Macroprudential

  • versus Microprudential Regulation
  • Common Exposures
  • Contagion
  • Liquidity modeling
  • Mass lapses
  • macroprudential surveillance
  • Systemic amplifiers
  • Triggers
  • Macroprudential Task Force (MPTF) of the American Academy of Actuaries
  • NAIC Liquidity Stress Testing (LST) Framework
  • NAIC MACROPRUDENTIAL INITIATIVE (MPI) – [link]
  • 269 For instance, in 1991 six major life insurers, each with over $4 billion in assets, failed as a result of their common exposures to commercial real estate and junk bonds.

See 1992 – AP – Policyholder Runs, Life Insurance Company Failures, and Insurance Solvency Regulation, by Scott E. Harrington, 5 Cato Rev Bus & Govt 27, 27 – 11p

2014 – LR – Regulating Systemic Risk in Insurance, by Daniel Schwarcz and Steven L. Schwarcz – 73p

  • Contagion is often characterised by a transmission in the form of a liquidation of assets and is therefore also linked to the liquidity position of the insurer.
    • In extreme cases, a large part of the insurance sector could start partly or fully selling certain asset exposures at a distress price, i.e. a fire sale of assets.
    • Such fire sales could be amplified by, for example, mass lapses, procyclical behaviour or the liquidity needs of insurers with a high exposure to insurance products with potential systemic features and/or a large activity in certain derivatives markets characterised by margin calls. (p14)

2018 11 – ESRB – Macroprudential provisions, measures and instruments for insurance – European Systemic Risk Board – 80p