Botswana: Financial Sector Assessment Program-Technical Note on Stress Testing and Systemic Risk Analysis for Insurers and Retirement Funds

International Monetary Fund

No 2024/061, IMF Staff Country Reports from International Monetary Fund

Abstract: The FSAP mission conducted a risk analysis for large insurance companies and retirement funds. Building on the narrative of the adverse macrofinancial scenario also used in the banking ST, the focus of the analysis in the insurance sector was on solvency. Sensitivity analyses, e.g., interest rate and currency shocks and the default of the largest banking counterparty, complemented the analysis. For retirement funds, future pension values were modeled after a materialization of the adverse scenario in the first two years of the projection horizon. The sample comprised four life insurers, four short-term insurers and four retirement funds, with a market coverage between 80 and 95 percent in each sector. Incomplete reporting data complicated the top-down modelling, specifically with regard to the geographical breakdown of investments for insurers, and the valuation of insurance liabilities.

Keywords: NBFI stress test specification; NBFI sector; NBFI market structure; staff team of the International Monetary Fund; FSAP's finding; Insurance companies; Retirement; Stress testing; Insurance; Financial Sector Assessment Program; Southern Africa; Pensions (search for similar items in EconPapers)
Pages: 33
Date: 2024-03-05
New Economics Papers: this item is included in nep-age
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