Theoria cum praxi: Essays in times of crisis on Solvency II, yield forecasts and alternatives for asset managers in the low interest environment

Publikation: Qualifikations-/Studienabschlussarbeit › Dissertation

Autoren

  • Norman Rudschuck

Organisationseinheiten

Forschungs-netzwerk anzeigen

Details

OriginalspracheEnglisch
QualifikationDoctor rerum politicarum
Gradverleihende Hochschule
Betreut von
  • Johann-Matthias Graf von der Schulenburg, Betreuer*in
Datum der Verleihung des Grades15 Feb. 2018
ErscheinungsortHannover
PublikationsstatusVeröffentlicht - 2018

Abstract

Das Ziel dieser kumulativen Dissertation – insbesondere zu den Themen Solvency II, der Güte von Zinsprognosen und dem historischen Niedrigzinsumfeld gepaart mit unkonventioneller Geldpolitik – ist es, bestehende Theorien auf ihre Qualität und Zuverlässigkeit zu überprüfen. Der wissenschaftliche Beitrag basierend auf den empirischen Forschungsleistungen soll aufgrund der erzielten Ergebnisse zusätzlich einen praktischen Nutzen für Assetmanager in der Versicherungsindustrie leisten – kurz: Eine Brücke zwischen Theorie und Praxis zu schlagen. Insbesondere in Zeiten der historischen Niedrigzinsphase stellt(e) sich revolvierend die Frage: Warum und wofür werden Zinsprognosen erstellt? Dabei zeigte sich, dass gerade in volatilen Marktsituationen die Genauigkeit dieser Vorhersagen abnahm, wobei Orientierung in diesen Phasen von außerordentlicher Bedeutung gewesen wäre. Die Verschärfung des Anlagenotstands ergab sich zudem nicht nur durch sinkende Renditen, sondern auch durch den Regimewechsel mit Blick auf die Regulatorik. Solvency II kann als ein Paradigmenwechsel betrachtet werden und unterstreicht nicht erst seit der Einführung die Notwendigkeit einer angemessenen Kapitalausstattung von Versicherungsunternehmen. Diese Rahmenbedingungen verschärften die kurz- bzw. langfristige Arbeit der Assetmanager im Bereich der Kapitalanlage, weshalb zu konstatieren war, dass konventionelle Lebensversicherungsprodukte aufgrund der sinkenden Garantieverzinsung mehr denn je erklärungsbedürftig geworden sind. Zudem resultieren hieraus für die Branche neue Herausforderungen und zusätzliches Umdenken mit Blick auf Vermarktung und Renditeerzielung, um das Produkt ‚Lebensversicherung‘ für Kunden attraktiv zu gestalten. Des Weiteren haben sich die Policen in der Gestalt weiterentwickelt, als dass teilweise nur noch eine Beitragsgarantie gewährt wird und der Garantiezins bei einzelnen Gesellschaften bzw. Produktangeboten keine Rolle mehr spielt. Diese beobachteten Zusammenhänge schlagen sich in praktischen und theoretischen Überlegungen nieder. Dies gilt insbesondere für das Ausweichen in Anlagetitel mit höherem Risiko-Ertrags-Profil, welche jedoch im Standardmodell unter Solvency II mit mehr Solvenzkapital zu hinterlegen sind – SCR und MCR (Minimum Capital Requirement). Die Wichtigkeit des Asset-Liability-Managements hat somit im Zeitablauf noch einmal an Relevanz gewonnen. Bisher werden Staatsanleihen, deren Emittenten Mitglieder des Europäischen Wirtschaftsraums oder der OECD sind, grundsätzlich als risikolos eingestuft. Eine Anpassung der aufsichtsrechtlichen Vorschriften wäre aus dem Blickwinkel der Staatsschuldenkrise durchaus überlegenswert. Versicherer müssen sich jedoch ohnehin im Rahmen der Säule II, also der Anforderungen an das Governance-System (Own Risk and Solvency Assessment – ORSA), intensiv mit den Staatenrisiken auseinandersetzen. Weitere Module dieser wissenschaftlichen Arbeit beschäftigen sich mit der Güte von Zinsprognosen, die in dieser Form so noch nicht wissenschaftlich untersucht wurden. Grundlage dafür war stets die Verfügbarkeit einer geeigneten historischen Datenbasis. Am kurzen Ende der Zinsstrukturkurve spielte dabei insbesondere die aktuelle Geldpolitik der Europäischen Zentralbank – unkonventionell und streitbar zugleich – eine maßgebliche Rolle, welche direkte Impulse sowohl auf den Drei-Monats-Satz als auch die Prognosen hatte. Dabei ergab sich aus den Forschungsergebnissen, dass die Richtung der Zinsänderung – steigende oder weiter sinkende Sätze – aufgrund der zunehmenden Volatilität in Zeiten historisch ungewohnt niedriger Zinsen nicht immer zweifelsfrei vorhergesagt werden konnte. Eine naive Prognose als Alternative gereichte somit keineswegs zum Nachteil. Noch wichtiger für die Versicherungsindustrie war jedoch der untersuchte längerfristige Zins – mit oder ohne Einfluss von makroökonomischer Variablen. Dabei zeigte sich vor allem die Verschärfung der Lage im Zeitablauf für deutsche Assetmanager, da neben der Zunahme der Sicherheitsbedürfnisse vieler Investoren („flight to safety“) auch die Flucht in Qualitätswerte („flight to quality“) und das Zurückziehen in höchstliquide Titel („flight to liquidity“) vor allem deutsche Bundesanleihen mit einer Laufzeit von zehn Jahren und länger trotz der historisch niedrigen Renditen im sich verschärfenden Krisenfall sehr attraktiv erscheinen ließen.

Zitieren

Theoria cum praxi: Essays in times of crisis on Solvency II, yield forecasts and alternatives for asset managers in the low interest environment. / Rudschuck, Norman.
Hannover, 2018. 106 S.

Publikation: Qualifikations-/Studienabschlussarbeit › Dissertation

Download
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title = "Theoria cum praxi: Essays in times of crisis on Solvency II, yield forecasts and alternatives for asset managers in the low interest environment",
abstract = "The aim of this cumulative dissertation is to examine the quality and reliability of existing theories bearing particular focus on the subject matters of Solvency II, the accuracy of interest rate forecasts and the historically low interest environment paired with unconventional monetary policy. This empirically-based scientific contribution should hold practical use to asset managers working in the insurance industry due to the results that it provides: put briefly, to act as build a bridge between theory and practice. In times of historically low interest rate phases, one question is often repeated, namely the whys and the wherefores regarding interest rate forecasts. Here, it has been shown that particularly in times of market volatility the precision of these forecasts decreased. Even though it would have held significant importance during such a phase to concentrate on it. The worsening of the asset crisis was not only a result of decreasing yields but also due to a regime change regarding regulatory requirements. Solvency II can be seen as a paradigm change and its introduction underlines the necessity of appropriate capital reserves of insurance companies that already existed. The regulatory framework increased the short- and long-term work of asset managers in the field of capital investment, which resulted in the postulation that conventional life insurance products are – now more than ever – in need of explanation due to their declining guaranteed interest rates. In addition, this has also brought new challenges and a need for rethinking when considering the marketing and realization of (interest) earnings to the industry for the product “life insurance” to be attractive to the customer. Furthermore, the policies have continued to develop in structure, whereby in some cases only contribution guarantees are offered where the guaranteed interest rate does not play a role for individual companies or product offers. These observed correlations can be found in both theoretical and practical considerations. This can especially be said for the evasion of assets with higher risk return profiles as they require a higher amount of capital adequacy obligations under the standard model of Solvency II – Solvency Capital Requirement (SCR) and Minimum Capital Requirement (MCR). During the course of time, the importance of asset liability management has once again gained relevance. At present, sovereign bonds issued by members of the European Economic Area or the OECD are to be classified as risk-free. In light of the sovereign debt crisis, an adjustment of the supervisory regulations is worth considering. Insurers already have to intensively address sovereign risks pursuant to Pillar II, i.e. the governance system requirements (Own Risk and Solvency Assessment – ORSA). Additional modules of this thesis are concerned with the accuracy of interest rate forecasts that have yet to be scientifically investigated in this form. The availability of appropriate historical databases served as the basis of the modules. The short end of the interest rate structure curve is especially affected by the current monetary policy of the European Central Bank – both unconventional and disputable – whose impulses are felt in the three-month rate and the forecasts. The research results here found that the direction of the interest rate change – increasing or further declining rates – cannot be unequivocally forecasted due to the increasing volatility during times of historically-unusual low interest rates. Thus, a na{\"i}ve prognosis delivered as an alternative is not necessarily a disadvantage. However, more important for the insurance industry was the investigation of long-term interest rates, with or without the influence of macro-economic variables. Here, above all an escalation of the situation for German asset managers has developed over time as – in addition to the increase of “flight to safety” for many investors the need of “flight to quality” and the “flight to liquidity” – it has also made German sovereign bonds with a period of ten years and more appear especially attractive despite the historically low yields in an intensifying crisis situation.",
author = "Norman Rudschuck",
note = "Doctoral thesis",
year = "2018",
doi = "10.15488/3256",
language = "English",
school = "Leibniz University Hannover",

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Download

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T2 - Essays in times of crisis on Solvency II, yield forecasts and alternatives for asset managers in the low interest environment

AU - Rudschuck, Norman

N1 - Doctoral thesis

PY - 2018

Y1 - 2018

N2 - The aim of this cumulative dissertation is to examine the quality and reliability of existing theories bearing particular focus on the subject matters of Solvency II, the accuracy of interest rate forecasts and the historically low interest environment paired with unconventional monetary policy. This empirically-based scientific contribution should hold practical use to asset managers working in the insurance industry due to the results that it provides: put briefly, to act as build a bridge between theory and practice. In times of historically low interest rate phases, one question is often repeated, namely the whys and the wherefores regarding interest rate forecasts. Here, it has been shown that particularly in times of market volatility the precision of these forecasts decreased. Even though it would have held significant importance during such a phase to concentrate on it. The worsening of the asset crisis was not only a result of decreasing yields but also due to a regime change regarding regulatory requirements. Solvency II can be seen as a paradigm change and its introduction underlines the necessity of appropriate capital reserves of insurance companies that already existed. The regulatory framework increased the short- and long-term work of asset managers in the field of capital investment, which resulted in the postulation that conventional life insurance products are – now more than ever – in need of explanation due to their declining guaranteed interest rates. In addition, this has also brought new challenges and a need for rethinking when considering the marketing and realization of (interest) earnings to the industry for the product “life insurance” to be attractive to the customer. Furthermore, the policies have continued to develop in structure, whereby in some cases only contribution guarantees are offered where the guaranteed interest rate does not play a role for individual companies or product offers. These observed correlations can be found in both theoretical and practical considerations. This can especially be said for the evasion of assets with higher risk return profiles as they require a higher amount of capital adequacy obligations under the standard model of Solvency II – Solvency Capital Requirement (SCR) and Minimum Capital Requirement (MCR). During the course of time, the importance of asset liability management has once again gained relevance. At present, sovereign bonds issued by members of the European Economic Area or the OECD are to be classified as risk-free. In light of the sovereign debt crisis, an adjustment of the supervisory regulations is worth considering. Insurers already have to intensively address sovereign risks pursuant to Pillar II, i.e. the governance system requirements (Own Risk and Solvency Assessment – ORSA). Additional modules of this thesis are concerned with the accuracy of interest rate forecasts that have yet to be scientifically investigated in this form. The availability of appropriate historical databases served as the basis of the modules. The short end of the interest rate structure curve is especially affected by the current monetary policy of the European Central Bank – both unconventional and disputable – whose impulses are felt in the three-month rate and the forecasts. The research results here found that the direction of the interest rate change – increasing or further declining rates – cannot be unequivocally forecasted due to the increasing volatility during times of historically-unusual low interest rates. Thus, a naïve prognosis delivered as an alternative is not necessarily a disadvantage. However, more important for the insurance industry was the investigation of long-term interest rates, with or without the influence of macro-economic variables. Here, above all an escalation of the situation for German asset managers has developed over time as – in addition to the increase of “flight to safety” for many investors the need of “flight to quality” and the “flight to liquidity” – it has also made German sovereign bonds with a period of ten years and more appear especially attractive despite the historically low yields in an intensifying crisis situation.

AB - The aim of this cumulative dissertation is to examine the quality and reliability of existing theories bearing particular focus on the subject matters of Solvency II, the accuracy of interest rate forecasts and the historically low interest environment paired with unconventional monetary policy. This empirically-based scientific contribution should hold practical use to asset managers working in the insurance industry due to the results that it provides: put briefly, to act as build a bridge between theory and practice. In times of historically low interest rate phases, one question is often repeated, namely the whys and the wherefores regarding interest rate forecasts. Here, it has been shown that particularly in times of market volatility the precision of these forecasts decreased. Even though it would have held significant importance during such a phase to concentrate on it. The worsening of the asset crisis was not only a result of decreasing yields but also due to a regime change regarding regulatory requirements. Solvency II can be seen as a paradigm change and its introduction underlines the necessity of appropriate capital reserves of insurance companies that already existed. The regulatory framework increased the short- and long-term work of asset managers in the field of capital investment, which resulted in the postulation that conventional life insurance products are – now more than ever – in need of explanation due to their declining guaranteed interest rates. In addition, this has also brought new challenges and a need for rethinking when considering the marketing and realization of (interest) earnings to the industry for the product “life insurance” to be attractive to the customer. Furthermore, the policies have continued to develop in structure, whereby in some cases only contribution guarantees are offered where the guaranteed interest rate does not play a role for individual companies or product offers. These observed correlations can be found in both theoretical and practical considerations. This can especially be said for the evasion of assets with higher risk return profiles as they require a higher amount of capital adequacy obligations under the standard model of Solvency II – Solvency Capital Requirement (SCR) and Minimum Capital Requirement (MCR). During the course of time, the importance of asset liability management has once again gained relevance. At present, sovereign bonds issued by members of the European Economic Area or the OECD are to be classified as risk-free. In light of the sovereign debt crisis, an adjustment of the supervisory regulations is worth considering. Insurers already have to intensively address sovereign risks pursuant to Pillar II, i.e. the governance system requirements (Own Risk and Solvency Assessment – ORSA). Additional modules of this thesis are concerned with the accuracy of interest rate forecasts that have yet to be scientifically investigated in this form. The availability of appropriate historical databases served as the basis of the modules. The short end of the interest rate structure curve is especially affected by the current monetary policy of the European Central Bank – both unconventional and disputable – whose impulses are felt in the three-month rate and the forecasts. The research results here found that the direction of the interest rate change – increasing or further declining rates – cannot be unequivocally forecasted due to the increasing volatility during times of historically-unusual low interest rates. Thus, a naïve prognosis delivered as an alternative is not necessarily a disadvantage. However, more important for the insurance industry was the investigation of long-term interest rates, with or without the influence of macro-economic variables. Here, above all an escalation of the situation for German asset managers has developed over time as – in addition to the increase of “flight to safety” for many investors the need of “flight to quality” and the “flight to liquidity” – it has also made German sovereign bonds with a period of ten years and more appear especially attractive despite the historically low yields in an intensifying crisis situation.

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