Monthly Archives: December 2009

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CRO Forum responses Wave 3 Consultation

There is need for an appropriate balance between controlling risk, ensuring practicability for issuers of these products and also respecting the principle of “freedom of investment” (priority: medium) The advice in this paper should be balanced between 2 important Principles in the Directive: “Prudent Person” (Art 132) and also “Freedom of Investment” (Art 133).

CRO Forum responses Wave 3 Consultation 2009-12-10T10:19:49+00:00

Solvency II Calibration

This document is a follow-up to our position paper published last May: ‘Calibration Principles for the Solvency II Standard Formula”. The paper provides our recommendation on the methodology to calibrate market risk correlation factors as well as a counterproposal for the correlation matrix as suggested by CEIOPS in its Consultation Paper n°74. The final chapter of this document also briefly addresses the correlations for non-market risk.

Solvency II Calibration 2017-05-10T20:05:29+00:00