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May 2009 – The CRO Forum

Monthly Archives: May 2009

Internal Model Admissibility

Internal models should reflect the nature, scale and complexity of the underlying businesses; they should be proportional in sophistication to the materiality of the risks they cover. Materiality levels should be determined by stakeholders based on the model's purpose. Practical considerations for models include usability, reliability, timeliness, process effectiveness, systems and cost efficiency. There should be an acceptable tradeoff between accuracy and the various practical constraints.

2017-05-10T20:05:29+00:00May 1st, 2009|

Calibration Principles

The Solvency II standard formula to calculate a company's Solvency Capital Requirement should present a balancing act between various targets such as simplicity, risk sensitivity and robustness. The CRO Forum believes the main principles of the current standard formula, namely to asses the sensitivity with respect to all material risk factors and to aggregate capital requirements allowing for diversification, are appropriate for this purpose and moreover set incentives towards risk mitigation strategies.

2009-05-01T07:31:04+00:00May 1st, 2009|