Институциональные особенности оценки кредитного риска страховых организаций в России

Журнал институциональных исследований. 2020. Т. 12. № 3. С. 101–121.

Алдухова Е. В., Polyakova M. V., Polyakov K.

The presence of specialized institutions serving insurance operations, the implementation
of elements of insurance operations by experts or especial organizations are the institutional
features of the insurance market, reflected in special legal regulation. One of the most important
aspects of the formation of the institutional environment of the insurance market in the domestic
environment is the formation of an effective regulatory environment and improvement of the
prudential supervision system using new institutional norms based on the best management
and supervisory practices. Among other things, the presence of such an environment helps to
reduce transaction costs. The purpose of this article is to reveal the features of the new Russian
regulation of the insurance market in terms of credit risk management. The article is aimed
at examining the features of the new Russian regulations. The credit risk management lies
at the core of any insurer’s activities since their own solvency depends on the ability of their
contractors to meet liabilities. The credit risk is inherent in receivables, financial instruments investments and reinsurance. Since its presence is unavoidable, insurers arrange their internal
systems to tackle the credit risk. At the same time the insurance regulators keep insurers’
solvency requirements and capital requirements for various risks including the credit risk up
to date as the insurance markets develop further on. The article studies the European insurers’
credit risk assessment approach in line with Solvency II applicable as from Jan 1, 2016 and
examines the requirements for the Russian insurers under the Cenral Bank’s Regulation 710-
P stipulating to account for financial risks in calculating solvency margins starting Jan 1,
2021. The comparison analysis proves that new regulatory requirements are based on the global
expertise, yet points out the distinctive national features stemming from the state of the domestic
markets. Nonetheless, since Regulation 710-P is overall compatible with the global practice of
credit risk assessment, we expect the Russian insurers to adapt to the new requirements quickly.

Keywords: кредитный риск, Solvency II, risk-oriented approach, сredit risk, сapital at risk, сounterparty default risk, риск-ориентированное регулирование, капитал под риск, риск дефолта контрагента