Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

RMS provides model review for multi-peril securitization Valais Re


Risk Management Solutions has just issued a press release announcing that they performed a review of the risk analysis processes used for the recent Valais Re deal from Flagstone Reinsurance Ltd.

Flagstone’s underwriting and risk modeling processes use a wide set of the RMS models, accompanied by an extremely high proportion of detailed data to best analyze their exposures. RMS concluded that the methodology and assumptions employed would provide a reasonable and prudent representation of the underlying risks inherent in the transaction.

“While a third party could remodel a smaller indemnity transaction, it would be impractical for a modeling firm to reanalyze a portfolio with hundreds of cedants, particularly given the typical time constraints on cat bond deals”, said Peter Nakada, managing director at RMS Consulting.

He added: “This transaction demonstrates the value that can be added by assessing a reinsurer’s own modeling, and we are pleased to continue reviewing these deals as the market for them evolves.”

Details of the Valais Re deal can be found in our Deal Directory.

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