Internal models
Too many questions in Basel floor plans, industry claims
While standardised rules are being revised, banks say they can't make a call on floors
US insurers under pressure to ramp up modelling frameworks
US insurers reviewing models as regulations begin to bite
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
Basel floors must be below 75% to preserve models, banks say
Regulators plan to floor modelled capital at a percentage of standardised approaches
Insurance proxy modelling: the weight of success
Clive Davidson reviews how proxy models have developed since their inception a decade ago
PRA: internal model insurers need a ‘plan B’
Firms must prepare in case their models are rejected, says regulator
Solvency II equivalence: uncertainty frustrates model applications
Use of volatility adjustment for third-country subsidiaries also in doubt
Good documentation central to model approval, say supervisors
Standard-forumula firms also face more stringent requirements
Imap burden 'exorbitant' - Allianz CRO
Documentation for approval process running to 110,000 pages
Unanswered questions remain on model change policies
Status of reactive parameters left open by Eiopa
UK insurers’ internal model validation processes 'hugely inefficient'
Firms struggling with validating external models, expert judgement and risk dependencies, say experts
Basel securitisation rules revisions criticised
While the December proposals incorporate many of the industry's comments, banks claim the rules are still too harsh
PRA wrestles with early-warning indicators calibration
Calibration for general insurers and with-profits funds frustrates regulator's progress
Avoid one-size-fits-all capital approach, says Osfi’s Zelmer
Regulators have increasingly been pushing for less reliance on bank internal models, but Osfi’s deputy superintendent of the regulation sector, Mark Zelmer, thinks internal models have a place
Insurers upgrade management actions models
The missing piece
The economic view
Insurers are using the delays to Solvency II to improve their economic capital models
Insurers explore new risk metrics in bid to refine economic capital models
European insurers are refining their internal economic capital models as regulators’ efforts to define statutory solvency requirements grind to a standstill. Louie Woodall reports
Conditional approval of Solvency II internal models should be allowed, urges PRA official
Insurers' efforts to develop internal models should be recognised by supervisors
Insurers developing internal model risk calibrations for non-standard credit assets
Underlines growing strategic importance of infrastructure bonds and MBS, finds survey
Early-warning indicators needed to address failings in Solvency II - PRA chief
Effective and prudent solution needed on Solvency II matching adjustment, says Bailey
PRA reserves right to review internal models after Icas+ approval
Entry requirments for transitional regime will be high, says PRA official
Fears volatile model warning indicators could lead to unjustified action
UK regulator urged to reconsider proposed early-warning indicators to reflect better changes in economic conditions and not penalise insurers’ de-risking strategies