There are two main methods of calculating the solvency capital requirement (SCR) under Solvency II, the “standard formula” and “internal model” methods: (a) The standard formula method, as its name ...
Learn how the Advanced Internal Rating-Based (AIRB) approach helps financial institutions internally assess credit risk using ...
Modern financial systems are built on risk models for good reason. They provide structure in uncertainty, comparability ...
The PRA’s new supervisory statement extends banks’ model risk management obligations “across all models” - not just capital and stress testing. What steps must banks take to comply? Despite last ...
Against a background of increasing reliance on models and scenario analysis to assess future risks, the UK’s bank regulator, the Prudential Regulation Authority (“PRA”), has published a supervisory ...
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