Modern Portfolio Management

Modern Portfolio Management

The CECL Handbook: A Practitioner's Guide

The CECL Handbook: A Practitioner's Guide

ORSA: Design and Implementation


An Own Risk and Solvency Assessment (ORSA), is an internal process undertaken by an insurer or insurance group to assess the adequacy of its risk management and current and prospective solvency positions under normal and severe stress scenarios. Globally, ORSA regimes are now in force or under development in most of the significant insurance markets worldwide. In Europe, the ORSA is part of Solvency II as a key component of Pillar 2.


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Bogie Ozdemir, Vice President at Sun Life Financial where he is developing enterprise ORSA, provides a straightforward approach to the understanding, management, and implementation of this requirement. You will learn how to build a practical implementation plan, utilise existing resources and capabilities to support your ORSA, and learn how to manage the business impact and benefits of ORSA implementation.

The lack of prescriptive guidance around ORSA brings with it its own set of challenges. Aimed at ensuring insurers have a sound understanding of their individual risk profile, and have the appropriate measures in place to address them, ORSA requires insurers to undergo a rigorous self-assessment and align capital requirements accordingly.

This guide will provide you with this prescriptive guidance with chapters including:

  • The Requirements of OSFI
  • ORSA Key Elements
  • Enterprise Risk Management Frameworks
  • Using the Three Lines of Defence Framework
  • Available Capital under ORSA
  • Risk Appetite
  • Stress Testing
  • Strategic Impact
  • Utilizing ORSA in Effective Risk and Capital Management
  • Co-managing Regulatory and Economic Capital
  • Enhancing Risk Appetite and incorporating Earnings at Risk
  • Effective Capital Planning
  • Tail Risk Management


More Information
ISBN 9781782722083
Navision code MORS
Publication date 26 May 2015
Size 155mm x 235mm
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Bogie Ozdemir

Bogie Ozdemir is the Vice President of Sun Life Financial Group, responsible for the Enterprise Economic Capital, Operational Risk, Model Vetting, Risk Analytics, Risk Policy, and Economic Scenario Generation groups. Until recently, he was the Vice President of BMO Financial Group where he was responsible for Economic Capital, Stress Testing, and Basel Analytics, and jointly responsible for ICAAP.  Previous to this he was the Vice President of Standard & Poor’s Credit Risk Services group where he was globally responsible for engineering new products and solutions, and business development and management.

He has co-authored many papers such as “Practical and Theoretical Challenges in Validating Basel Parameters: Key Learnings from the Experience of a Canadian Bank” and “Basel Requirement of Downturn LGD: Modeling and Estimating PD & LGD Correlations” both published in the Journal of Credit Risk, “Estimating and Validating Long-Run Probability of Default with respect to Basel II Requirements”, published in the Journal of Risk Model Validation in 2008, and more recently “Information asymmetry and bank regulation: Can the spread of debt contracts be explained by recovery rates?”, published in the Journal of Financial Intermediation in 2012. In 2008, Bogie also co-authored a book titled Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System.

1. ORSA Background, Regulatory Requirements and Overview

2. End-to-end ORSA Process and Integration with ERM and Finance Processes

3. Estimation of Available Capital under ORSA

4. Estimation of Risk (or Economic) Capital under ORSA (Part 1)

5. Estimation of Risk (or Economic) Capital under ORSA (Part 2)

6. Target Solvency Ratio and Risk Appetite

7. Forecasting, Stress Testing and Reporting

8. Use Test, Strategic Impact and Application of ORSA

9. Production Model and Governance

10. Organizational Changes to Support ORSA