October 21st, 2009

Update: Standard & Poor’s Capital Model

Posted at 9:00 AM ET

Scott Lohman, Managing Director, Financial Intelligence Team
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Standard & Poor’s (S&P) is now performing additional analysis on loss reserves using a product called “Rescue,” which is developed by an outside vendor. Rescue obtains triangles from the company being examined instead of using Schedule P data. This approach offers data for more years for long-tail lines of business.

The in-depth analysis that S&P conducts with Rescue takes longer than the traditional approach (i.e., using Schedule P data), so it won’t use this approach every year. Rather, S&P will adjust total adjusted capital (TAC) to account for any difference between carried reserves and the company estimate.

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