← modelrisk.app · Assumption Registry

Assumptions

164 across 19 domains · rev 8dc4020 · 2026-06-30
domain·
id name domain source sensitivity status
A-001 Base mortality table mortality SOA / NAIC high active
A-002 Mortality improvement scale mortality SOA medium active
A-003 Select and ultimate factors mortality SOA medium active
A-004 Annuity mortality adjustment mortality SOA high active
A-005 CSO 2017 ultimate table mortality SOA / NAIC high active
A-006 2015 VBT valuation basic table mortality SOA high active
A-007 Mortality margin (LDTI cash-flow assumption) mortality ASC 944 / ASU 2018-12 (LDTI) high active
A-008 Annuity-side annuitant mortality basis mortality SOA Annuity 2000 / IAM 2012 high active
A-010 Base lapse curve (spread liability) lapse SOA / company calibration high active
A-011 Base lapse curve (VA with guarantees) lapse SOA / company calibration high active
A-012 Dynamic lapse adjustment lapse SOA dynamic lapse study high active
A-013 Surrender charge schedule lapse Filing data medium active
A-014 Base lapse curve (term life) lapse SOA US Individual Life Persistency Update; FinView insurance_reference.py high active
A-015 Base lapse curve (whole life) lapse SOA US Individual Life Persistency Update medium active
A-016 Base lapse curve (universal life) lapse SOA US Individual Life Persistency Update high active
A-017 Base lapse curve (fixed annuity) lapse SOA Annuity Persistency Study high active
A-018 Base lapse curve (variable annuity) lapse SOA Annuity Persistency Study high active
A-019 Shock lapse at surrender-charge expiration lapse SOA Annuity Persistency Study; company experience high active
A-030 Cumulative default probabilities credit Moody's Investors Service high active
A-031 Recovery rates by seniority credit Moody's Ultimate Recovery Database medium active
A-032 Rating transition matrix credit Moody's medium active
A-033 OAS-to-PD mapping credit FRED + model derivation medium active
A-034 Credit spread notch interpolation credit Internal methodology low active
A-035 Counterparty PD for CVA credit Moody's / S&P medium active
A-036 1-year ratings transition matrix (Moody's) credit Moody's Annual Default and Recovery Studies high active
A-037 LGD by seniority class credit Moody's Ultimate Recovery Database high active
A-038 NAIC C1 factor by RBC designation credit NAIC RBC formula (Life) high active
A-039 NRSRO designation → NAIC RBC class crosswalk credit NAIC P&P Manual medium active
A-040 Credit spread DV01 sensitivity to OAS move credit Fabozzi Fixed Income Analytics medium active
A-041 Recovery rate volatility (stochastic LGD) credit BIS Working Paper No. 322 (recovery rate dynamics) medium active
A-042 PD-LGD correlation (procyclicality) credit BIS Basel III consultative documents medium active
A-043 Asset correlation by rating tier (single-factor model) credit Basel II IRB single-factor model high active
A-044 Concentration limit (issuer single-name) credit Internal investment policy (industry-standard) low active
A-045 Sector concentration limit credit Internal investment policy low active
A-046 CDS bid-ask spread (transaction cost) credit TRACE + dealer quotes low active
A-047 CVA recovery assumption (counterparty default) credit ISDA Master Agreement convention medium active
A-048 Wrong-way risk multiplier credit ISDA SIMM methodology medium active
A-049 Initial margin (IM) threshold by rating credit ISDA Master Agreement CSA conventions low active
A-050 CIR mean reversion speed (kappa) interest rate model Calibrated to NAIC acceptance criteria high active
A-051 CIR long-run mean (theta) interest rate model Calibrated to historical average + NAIC criteria high active
A-052 CIR volatility (sigma) interest rate model Calibrated to historical vol + NAIC criteria high active
A-053 Initial yield curve interest rate model Treasury.gov medium active
A-054 FX correlation matrix (cross-currency pairs vs equity / rates) interest rate model Internal placeholder; calibration deferred to PL-07 sweep high active
A-055 Mean-reversion speed (short rate) interest rate model NAIC stochastic interest scenario generator calibration medium active
A-056 Long-run mean (short rate) interest rate model GOES economic scenario generator calibration high active
A-057 Short rate volatility (sigma) interest rate model GOES calibration to historical UST volatility high active
A-058 G2++ second-factor parameters interest rate model G2++ literature (Brigo-Mercurio) + GOES calibration medium active
A-059 Real rate term-structure model interest rate model BIS Working Paper on real-rate dynamics medium active
A-060 Equity risk premium equity model Historical S&P 500 + academic consensus high active
A-061 SVJ vol-of-vol equity model Calibrated to VIX time series medium active
A-062 Jump intensity equity model NAIC calibration high active
A-063 Jump size (equity) equity model NAIC calibration + historical crash data high active
A-064 Equity dividend yield assumption equity model S&P / CRSP historical dividend yields low active
A-065 Equity option implied vol baseline equity model CBOE VIX + ATM SPX option IVs high active
A-066 Stochastic vol mean-reversion (Heston) equity model Heston (1993) calibrations + market-fit literature medium active
A-067 Spot-vol correlation (leverage effect) equity model Empirical fit to SPX returns + IV medium active
A-068 Equity-rate cross-correlation (basket assumption) equity model CRSP + FRED historical high active
A-069 Equity skew premium equity model CBOE option chain history medium active
A-070 Per-policy maintenance expense expense Company 10-K + industry benchmark medium active
A-071 Expense inflation rate expense Federal Reserve inflation target low active
A-072 Commission first-year rate expense D9 fee model medium active
A-080 VM-20 CTE level regulatory NAIC VM-20 §3 high active
A-081 RBC C1 factors regulatory NAIC RBC formula medium active
A-082 VM-20 mortality margin regulatory NAIC VM-20 §9 medium active
A-083 VM-20 NPR margin (Net Premium Reserve floor multiplier) regulatory VM-20 §6 (Exclusion Test); FinView insmodel_bridge.py:319-335 production implementation medium active
A-084 VM-20 Deterministic Reserve incremental margin regulatory VM-20 §6; insmodel_bridge.py:319-335 medium active
A-085 VM-20 Stochastic Reserve incremental margin regulatory VM-20 §6; insmodel_bridge.py:319-335 medium active
A-086 RBC C-2 insurance risk factor regulatory NAIC RBC C-2 (Life) medium active
A-087 RBC C-3 Phase 1 (interest rate risk) regulatory NAIC RBC C-3 Phase 1 medium active
A-088 RBC C-3 Phase 2 (VA stochastic) regulatory NAIC RBC C-3 Phase 2 + AG 43 high active
A-089 RBC C-4 business risk factor regulatory NAIC RBC C-4 (Life) low active
A-090 Credit spread curve (AAA-CCC) spread recovery FRED (DS-003 through DS-010) medium active
A-091 Spread term structure spread recovery Model methodology low active
A-100 Netting benefit assumption counterparty Industry standard medium active
A-101 GMxB longevity stress (variable annuity guarantees) mortality Solvency II SCR life longevity medium active
A-101 Collateral posting threshold counterparty Filing data low active
A-102 Pandemic mortality stress mortality ICA 2024 mortality stress paper medium active
A-103 Mortality experience-study credibility blend mortality SOA Credibility Studies medium active
A-104 Disabled-life mortality (LTC and disability income) mortality SOA 1985 CIDA (Continuance / Incidence / Disabled Annuity) medium active
A-110 Dynamic lapse sensitivity coefficient (annuity) lapse SOA Dynamic Lapse Behavior Study high active
A-111 Partial withdrawal rate (annuity) lapse Filing data; SOA Annuity Withdrawal Study medium active
A-112 Partial withdrawal rate (universal life) lapse Company experience studies low active
A-113 GMxB utilization rate (variable annuity living benefit) lapse SOA GMxB Experience Study high active
A-114 Mortality-driven lapse adjustment (LTC and DI) lapse SOA LTC Persistency Study medium active
A-120 Default rate calibration source (multi-NRSRO blend) credit Moody's / S&P / Fitch medium active
A-121 Sovereign spread floor (CDS implied) credit CDS market observations low active
A-122 Country risk premium (emerging-market premium) credit Damodaran NYU Stern (free quarterly publication) medium active
A-123 Structured product (CLO) overcollateralization assumption credit S&P CLO criteria medium active
A-124 Private credit spread premium over public credit Apollo, KKR, Ares investor reports medium active
A-125 Commercial mortgage loan default rate (CRE) credit NCREIF + ACLI commercial mortgage performance studies medium active
A-126 ABS prepayment speed (PSA convention) credit PSA convention + asset-class history medium active
A-127 Credit watch / outlook adjustment (forward-looking PD) credit NRSRO outlook convention low active
A-140 Negative-rate floor interest rate model ECB/SNB rate-cycle observation medium active
A-141 Yield curve shape constraints (no-arbitrage) interest rate model Hull-White no-arbitrage construction low active
A-142 Stochastic discount factor (SDF) calibration target interest rate model Equity-premium-puzzle literature medium active
A-143 Inflation expectation term structure interest rate model FRED T5YIE / T10YIE / T5YIFR (DS-067) medium active
A-144 Real-world equity / rate correlation interest rate model Historical FRED + CRSP data high active
A-145 Swap-Treasury basis (USD swap spread) interest rate model FRED swap rate - UST yield differential medium active
A-146 Convexity adjustment (Eurodollar to forward rate) interest rate model Hull (2017) Options, Futures, and Other Derivatives Ch. 6 low active
A-147 Day-count convention (rate accruals) interest rate model ISDA + market convention low active
A-148 SOFR-LIBOR fallback formula interest rate model ISDA + ARRC LIBOR cessation fallback low active
A-150 Equity risk premium (long-run) equity model Damodaran NYU Stern (annual ERP update) high active
A-151 Equity index correlation matrix equity model CRSP historical 5Y rolling medium active
A-160 AG 43 standard scenario amount (VA) regulatory NAIC AG 43 high active
A-161 AG 53 GA invested asset disclosure (privately structured assets) regulatory NAIC AG 53 low active
A-162 AG 55 affiliated reinsurance disclosure regulatory NAIC AG 55 medium active
A-163 VM-31 disclosure requirements regulatory NAIC VM-31 low active
A-164 VM-22 PBR for non-variable annuities regulatory NAIC VM-22 (effective 2026) high active
A-165 Solvency II SCR life longevity stress regulatory Solvency II Directive 2009/138/EC Article 138 medium active
A-166 IFRS 17 risk adjustment confidence level regulatory IFRS 17 §B92 high active
A-167 LDTI discount rate (single-A corporate bond curve) regulatory ASC 944-40-30 (ASU 2018-12 LDTI) high active
A-200 Parallel rate shock magnitude finview stress Internal risk policy high active
A-201 DFAST severely adverse rate shock finview stress Federal Reserve high active
A-202 Credit spread shock finview stress Federal Reserve / internal high active
A-203 FX shock assumption finview stress Internal risk policy medium active
A-204 PD stress multiplier finview stress Moody's historical default studies high active
A-205 CECL base PD source finview stress Moody's Annual Default Study high active
A-206 CECL recovery rate assumptions finview stress Moody's Recovery Studies medium active
A-207 CECL prepayment / forecast horizon finview stress Internal credit policy medium active
A-210 Pricing mortality basis finview pricing SOA / NAIC medium active
A-211 Pricing discount rate finview pricing Internal pricing standard medium active
A-212 Pricing expense loading finview pricing Internal pricing standard low active
A-213 Mortality age-based increase finview pricing SOA mortality improvement studies medium active
A-214 Gender mortality adjustment finview pricing 2017 CSO M/F ratio approximation low active
A-220 Proxy bond maturity assumption finview proxy portfolio Industry average portfolio profile medium active
A-221 Proxy bond coupon assumption finview proxy portfolio Market reference rates + EDGAR filing data medium active
A-222 Proxy rating assignment finview proxy portfolio EDGAR credit quality disclosures medium active
A-223 Tier-2 composition-to-sector mapping finview proxy portfolio Internal proxy methodology medium active
A-230 Quota share cession range finview reinsurance Industry treaty benchmarks medium active
A-231 XOL attachment point finview reinsurance Internal risk appetite / reinsurance broker market high active
A-232 Reinsurance cost loading finview reinsurance Industry averages / broker quotes medium active
A-233 Counterparty credit floor finview reinsurance Internal reinsurance credit policy low active
A-234 Capital relief factor finview reinsurance NAIC RBC credit for reinsurance medium active
A-235 Retention limit assumption finview reinsurance Internal risk appetite statement medium active
A-240 Attribution decomposition method finview pnl attribution Industry standard (Brinson, Hood, Beebower 1986) medium active
A-241 Carry attribution rate basis finview pnl attribution Internal methodology low active
A-242 Curve shift attribution finview pnl attribution Internal methodology medium active
A-243 Residual threshold finview pnl attribution Internal risk policy low active
A-244 Benchmark portfolio finview pnl attribution Bloomberg index methodology medium active
A-250 Default projection horizon finview insmodel bridge InsModel standard projection horizon medium active
A-251 Default discount rate basis finview insmodel bridge ASC 944 / LDTI guidance high active
A-252 Golden scenario crosscheck tolerance finview insmodel bridge Internal validation policy (Golden Scenario high active
A-253 Projection basis mapping finview insmodel bridge InsModel engine registry low active
A-254 Bridge cache TTL finview insmodel bridge Internal performance policy low active
A-260 Duration alert threshold finview alerting Internal ALM policy medium active
A-261 ECL concentration alert finview alerting Internal credit risk policy medium active
A-262 Rating migration alert finview alerting Internal credit policy high active
A-263 Spread widening alert finview alerting Internal market risk policy medium active
A-264 Data staleness threshold finview alerting Internal data quality policy low active
A-265 RBC ratio alert finview alerting NAIC regulatory action levels high active
A-270 Maximum single-issuer weight finview portfolio optimization Internal concentration limits medium active
A-271 Minimum investment-grade allocation finview portfolio optimization Internal credit quality policy medium active
A-272 Duration target range finview portfolio optimization Internal ALM policy high active
A-273 Risk-free rate proxy finview portfolio optimization Treasury.gov medium active
A-274 Expected return estimation method finview portfolio optimization Internal investment committee medium active
A-275 Correlation estimation window finview portfolio optimization Internal methodology medium active
A-276 Transaction cost assumption finview portfolio optimization Broker execution data low active
A-277 Liquidity constraint finview portfolio optimization Internal liquidity policy medium active
A-280 MBS prepayment speed (CPR / PSA) asset pricing calibration Internal placeholder; calibration deferred to PL-07 sweep high active
A-281 SABR beta (moneyness elasticity) equity model SABR literature default (Hagan-Kumar-Lesniewski-Woodward 2002); empirically common in IR vol-surface calibration low active
A-282 SVI fit residual tolerance (numerical hyperparameter) equity model SVI literature default (Gatheral-Jacquier 2014); numerical-fit convergence threshold low active
A-283 Consolidation basis scalar (BSCR leg) insmodel offshore capital Internal consolidated-capital reconciliation policy medium active
A-284 Hull-White mean-reversion speed (a) interest rate model Literature-typical default (Brigo-Mercurio ch.3); caller-supplied, not market-calibrated medium active
A-285 Hull-White short-rate volatility (sigma) interest rate model Literature-typical default (Brigo-Mercurio ch.3); caller-supplied, not market-calibrated high active