We help you evaluate the required capital for your investments
Regulations Solvency2, HK-RBC and S-RBC2
Software
Functions for calculating the capital charge required by regulations on different types of financial instruments.
Advice
Occasional assistance with the calculation of the regulatory capital of your funds and investment strategies.
Training
Training on the assessment of market risk of financial instruments under different regulations.
About
KGVD Consulting is a company founded in 2026 by Jean-Renaud Viala-Dorian. We provide software, consulting, and training in the field of financial computation. Our specialty is market risk assessment within the framework of prudential regulation applicable to the investments of insurance companies. We cover Solvency 2 in Europe, HK-RBC in Hong Kong, and S-RBC2 in Singapore.
Jean-Renaud Viala-Dorian decided to found KGVD Consulting after a career of more than 30 years in quantitative finance within the Crédit Agricole group. His last position was at Amundi (then Crédit Agricole Asset Management), which he joined as Head of Quantitative Research on Fixed Income Products (2006-2011), then he became Head of Diversified Research (2011-2013) before taking the position of Head of Strategic Allocation Advisory for Insurers (2013-2025). He began his finance career as a quantitative analyst (1992-1999) at Société Générale in the equity derivatives research department, then joined CPR Gestion as Head of Quantitative Research, before entering Crédit Lyonnais within the quantitative research department in interest rate derivatives. He then served as Senior Commercial Director in the securitization department at Crédit Agricole from 1999 to 2006. Jean-Renaud holds a PhD in Science from the University of Paris VI and is a graduate of the École Normale Supérieure on rue d’ULM in Paris.
When it comes to prudential regulation, the devil is in the details. And there are a lot of details in financial investments!
Services provided
Software
We offer tailor-made calculation functions to assess the capital charge required by the regulations on different types of investment instruments.
Fixed income instruments: fixed or variable rate bonds callable or not, inflation-linked bonds, interest rate swaps, inflation swaps, OIS swaps, CDSs, interest rate futures, swaptions, future options, etc…
Equity-type instruments and their derivatives: index futures, stock or future options, etc …
Foreign exchange instruments and their derivatives: currency swap, forward foreign exchange, foreign exchange option, etc…
Other investments: real estate, infrastructure, raw materials, etc …
We use open-source libraries (mainly Quantlib) and can provide computational functions in different languages: python, Excel VBA, Matlab, C, C#. Our service includes code, documentation and excel example files interfaced with the functions. We do not provide market data.
Consulting
We can provide ad hoc consulting missions covering related issues. For example, we can:
Help you interpret tripartite reporting files (TPT) to assess the regulatory capital charge of external funds.
Analyze new products or strategies in order to propose an interpretation of the regulation and define a method for calculating the capital charge. In this case, we assist in drafting a rationale to support our interpretation with the regulator.
Provide assistance in preparing for the implementation in January 2027 of the Solvency 2 revision. EIOPA has not yet published all of its technical standards; however, there is sufficient material between the new directive and the draft delegated regulation to anticipate developments and prepare the necessary implementations.
Analyze other prudential regulations as long as the documentation is available. To date, in addition to the three mentioned above, we have explored UK-Solvency in the United Kingdom, the Swiss Solvency Test in Switzerland, C-RBS in mainland China, K-ICS in South Korea, as well as the international standard ICS 2.0 developed by IAIS, which serves as a model for many regulations under development.
Jean-Renaud Viala-Dorian participated in the developments implemented at Amundi even before the application of Solvency 2 in 2016. The department he was in charge of until 2025 handled regulatory monitoring and was the reference for Solvency 2 across all of Amundi. He also conducted several analyses to develop an appropriate treatment of the capital charge for Amundi strategies or funds under Solvency 2 as well as under S-RBC2 or HK-RBC
Training
We can provide training on the market risk assessment of financial instruments under these different regulations. The format can be either in-person or remote. The language is English or French. The duration depends on the needs and topics covered. Training materials are provided along with the examples presented during the sessions. Example topics :
Detailed training on the calculation of the SCR under Solvency2.
Comparison of the main market risk features between Solvency II and another regulation such as HK-RBC or S-RBC2.
The training is provided by Jean-Renaud Viala-Dorian, who has already conducted several seminars on Solvency II, HK-RBC, and S-RBC2. He has also delivered training on Solvency II compared to China-RBC to clients from mainland China. He speaks French and English.
Frequently Asked Questions:
What is the rate for consulting?
It depends on the topic. A consultation on Solvency2 costs about €800 excluding tax, per day.
To what extend does Solvency II compare to other insurance regulations?
Many risk based insurance regulations like Hong Kong RBC and Singapore RPC2 are inspired by Solvency 2 that predate them. But there are many differences that go beyond the difference in coefficients. Other regulation like South Korea ICS and Japan are more inspired by the ICS 2.0 conceived by IAIS. Swiss and America are specifics.
Is it possible to achieve SCR decrease through hedging strategies?
Yes, that’s the role of the risk mitigation module. However some risk are more difficult to mitigate than others. Exchange and interest rate risk are the easiest. Equity risk can be significantly reduced under strict conditions. Credit risk is difficult to mitigate.
What regulation can we help you with?
We have explored Hong Kong RBC, Singapore RBC2, Swiss Solvency test and IAIS ICS 2.0. We have some knowledge on China RBC and South Korea ICS.
Is the TPT template sufficient to compute the SCR?
Most of the time yes when combined with the EIOPA’s market data. But it lacks some information on the issuer so as to identify the local authorities exempted from credit SCR. It also depend upon the quality of the TPT.
Are securitisation truly penalised by Solvency2?
It is debatable but the new regulation will significantly decrease the SCR on some securitisation rendering Senior STS tranches much more attractive.
Are all market risks covered by Solvency II?
No. Inflation or volatility risk are not taken into account. That’s why insurer need to disclose all their Risk in their ORSA.
Are all information for other regulation publicly available?
It depends upon the regulation. Hong Kong and Singapore are fairly public although the parameters might be difficult to obtain.
For more information call:
+33(0)6 71 87 02 44