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  "documentTitle": "Sustainability Risk Under Solvency II",
  "authorId": "OliverWyman",
  "authorName": "Oliver Wyman",
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  "notes": "The slide uses a waterfall-like structure to show the composition of SCR and Own Funds.",
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      "text": "Market risks are the dominant type of risk driving the SCR. Stresses on market risk factors outweigh stresses on life/health risk factors by a significant margin.",
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      "text": "Baseline market value balance sheet and SCR contribution",
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      "text": "Methodology: The baseline market value balance sheet and coverage ratio is identical for both classic and ESG insurer... The SCR is calculated according to the Standard Formula... Market risks are the dominant type of risk... As a consequence, we see the SCR impact of physical risk on this insurer would be far less material...",
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      "text": "SCR coverage ratio: 128%",
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      "text": "For both standard and ESG insurers, we calculate 2 climate policy ORSA scenarios, using the methodology as laid out in the previous section. The shock is calculated on the initial balance sheet, the standard formula stresses remain the same.",
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      "kind": "title",
      "text": "THE MAIN DRIVER OF SCR LIES IN MARKET RISK, WITH UNDERWRITING RISKS PLAYING A SUBORDINATE ROLE",
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