Internal models
Internal model compulsory for variable annuity providers in Ireland, says BOI’s Elderfield
Internal model compulsory for variable annuity providers in Ireland, says BOI’s Elderfield
Comparability of EBA stress tests questioned
The ability of banks to use their own internal models for determining stressed PDs and LGDs mean the results will not be comparable, bankers claim
LPR Nordics: Danish FSA warns industry against Solvency II "compliance exercise"
Top Danish insurance and pensions regulator uses Life & Pension Risk Nordic conference to caution firms not to treat new regulation as a box-ticking exercise - or to rely on delays
FSA: insurers should prepare for failure of internal model approval
FSA: insurers should prepare for failure of internal model approval
Ernst & Young interview: A combined solution – overcoming the twin challenges of Solvency II and IFRS
The timing of the implementation of Solvency II and the second phase of IFRS presents a major logistical challenge for insurers which are not prepared
Modelling operational risk under Solvency II
Fits and starts
Mastering the data management challenges of Solvency II
Compliance control
Insurers' Solvency II programmes unrealistic, suggests PwC survey
Insurers' over-confidence about their Solvency II preparations could mean a last-minute rush to the finish line, according to a PwC survey
Aegon looks to cost of capital to price optionality in VA liabilities
A proposed new modelling framework from the Dutch insurer's US arm uses cost of capital in an analogous role to the market price of risk in traditional pricing theory to value long-dated options embedded in VA liabilities
Pass the microphone: Nodal’s Cusenza to LCH.Clearnet’s Grensted
In this month’s Pass the Microphone, Paul Cusenza of Nodal Exchange puts his questions to Simon Grensted, Managing Director, Business Development, at LCH.Clearnet
Fit to size
The one-size-fits-all approach of Solvency II's standard formula has left insurers with a dilemma. Should they use a standard model that is not appropriate to their business strategy, or opt for an internal model that is expensive and time-consuming for…
Critical voices
The final Basel II framework has been welcomed by banks, regulators and industry bodies around the globe, but there are still some concerns about certain aspects of the Accord. Bob Pickel, chief executive of Isda, gives the association's views on the new…
Tailoring internal models
Swiss Re's Pablo Koch Medina, Frank Krieter and Stephan Schreckenberg highlight the key features and main limitations of internal risk models for insurers.
QIS 3: Banks can use internal pricing for standardised approach
BASEL - Banks participating in the QIS 3 survey can use internal pricing methods to allocate gross income to different business lines for the standardised approach to measuring operational risk in the Basel II bank accord, global banking regulators said…
Stress tests and risk capital
For many financial institutions, "stress tests" are an important input into processes that set risk capital allocations. In the current regulatory environment, two distinct model-based approaches for setting regulatory capital requirements include stress…