FSA defends "risk sensitive" Solvency II data weightings
The UK Financial Services Authority (FSA) says that the weighting of the historical data in the determination of the Solvency II solvency capital ratio (SCR) should be dependent on the prevailing economic environment, but denies this will lead to a pro-cyclical capital charge.
Paul Sharma, director of prudential regulation at the FSA, says the extent to which data from events such as the financial crisis of 2008 should be considered within the 1-in-200 year event threshold that determines the
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