The COVID-19 pandemic has brought credit risks that are unprecedented in size, are fast-changing, and have vastly different manifestations across industries. The uncertainty of impact is driven by epidemiological progression and sociological response, balanced by fiscal and monetary stimulus.
Traditional risk measurement approaches used by investment groups at life insurance companies are challenged by this environment: they either require fundamental, name-level analysis (in the case of internal risk ratings) or rely on national-level economic variable forecasts that will not be differentiated across industries.
In this session, we explore analytics and data that life insurance companies can use to assess the current state of credit portfolios, considering loss, downgrade risk, RBC as well as that consider severity and length of this unprecedented economic slowdown across industries, while also accounting for government reaction and targeted fiscal policies.
This session will highlight:
• The state of credit markets and implications for credit losses, OTTI and RBC
• Preparing for the future - assessing portfolio and cross-industry dynamics along epidemiologic and economic paths
• Assessing the cross-industry impact of targeted fiscal policies (e.g., airline bailout, payments to individuals), and scenarios that explore real-time disruptions such as oil price shocks or COVID-19 impacts
• Amnon Levy, Managing Director, Moody's Analytics
• Tim Daly, Senior Director, Moody's Analytics