THE ROLE OF STRESS TESTING IN RISK MANAGEMENT OF INSURANCE COMPANY

This article discusses the role of stress testing in risk management of an insurance company. The authors presented different approaches to the concept of stress testing. The General approaches to the organization of stress testing in credit institutions, as well as the international practice of the organization and conduct of stress tests. The development of stress-testing tools both before and after the global financial crisis of 2007–2009 has been studied. The main elements of stress tests are identified and a comparative analysis of bottom-up and topdown stress tests is carried out. The main stages of stress tests in credit and non-credit financial institutions are considered. Based on the review of international financial practice, the main approaches to the organization of stress testing in banks and insurance companies are formed. The classification of stress tests was conducted based on various grounds (by type of stress test, by the source of information for the stress test, by the number of risks studied, by the level of testing). The principles taking into account which stress testing should be carried out in insurance companies are considered. The study considered a riskbased approach in which the concept of risk-based approach to the implementation of regulation and supervision of the activities of insurers and insurance groups of the European Union Solvency II, as well as the need for scenario analysis in insurance. A group of factors that most strongly influence the set of risks of insurance companies was identified. In addition, the need to organize a multi-level control over the risk management system and its effectiveness in insurance companies was noted.

stress testing, risk, risk management, Basel Committee on banking supervision, Solvency II, risk-based approach, bottom-up stress tests, top-down stress tests, risk management system, internal control, internal audit.

Vershinina O. V., Labusheva Ya. G., Sultaniev I. S. The role of stress testing in risk management of insurance company // Business. Education. Law. 2019. No. 1 (46). Pp. 132–136. DOI: 10.25683/VOLBI.2019.46.171.