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Internal Models and Solvency II

Edited By Paolo Cadoni

Overview

Internal Models and Solvency II clarifies the requirements for practitioners and senior executives by providing regulatory and practical insight into internal models. Perspectives from both the supervisory and industry side gives unique insight into the spirit and rationale of the requirements, and are complemented by practical solutions to the daily challenges faced when reviewing and implementing internal models.


Edited by Paolo Cadoni, currently Technical Head of the Insurance Policy Department at the Prudential Regulation Authority, this book provides support and solutions for the managers charged with implementing and validating their companies’ internal models, helping readers to ensure the compliance of their models. Insurance supervisors will also be able to use this book to clarify the requirements when reviewing internal model applications.

Internal Models and Solvency II gives readers a wider understanding of the history, challenges, philosophy, and future prospects of Solvency II internal models.

Publish date: 14 May 2014

Availability: In stock

Product Unit Price Qty
Book - Internal Models and Solvency II
£145.00
eBook - Internal Models and Solvency II
EPUB
£110.00
OR

Book description

Internal Models and Solvency II clarifies the requirements for practitioners and senior executives by providing regulatory and practical insight into internal models. Perspectives from both the supervisory and industry side gives unique insight into the spirit and rationale of the requirements, and are complemented by practical solutions to the daily challenges faced when reviewing and implementing internal models.

Edited by Paolo Cadoni, currently Technical Head of the Insurance Policy Department at the Prudential Regulation Authority, this book provides support and solutions for the managers charged with implementing and validating their companies’ internal models, helping readers to ensure the compliance of their models. Insurance supervisors will also be able to use this book to clarify the requirements when reviewing internal model applications.

Internal Models and Solvency II gives readers a wider understanding of the history, challenges, philosophy, and future prospects of Solvency II internal models.

Book details

ISBN
Book - 9781782720935 / eBook - 9781782721741
Publish date
14 May 2014
Format
Size

Editor biography

Paolo Cadoni

Paolo joined the PRA (formerly FSA) in 2004 where he has held a succession of posts both in banking and insurance.  He is currently a Technical Head of Department in the Prudential Policy Division leading on PRA's input into the European Insurance and Occupational Pensions Authority’s (EIOPA) Solvency II Committees and the International Association of Insurance Supervisors’ (IAIS) Solvency and Actuarial Issues Subcommittee.  

Since March 2013 Paolo has been the Chair of the IAIS ComFrame Field Testing Task Force which is leading the development of the IAIS Global Capital Standards. Paolo has also chaired the EIOPA Internal Models Committee since 2009.

Until March 2009 he was also responsible for the FSA's policy development and implementation of the internal model method (IMM) for counterparty credit risk for banks and investment firms.  He also represented the FSA in the Overall Capital and Quantitative Impact Study Working Group of the Basel Committee on Banking Supervision and led the FSA's work on QIS5.

Prior to becoming a regulator Paolo worked as a financial modeller in the oil and power sector.

He holds a Ph.D. in Finance from the ICMA Centre and an MSc in Econometrics from Southampton University

Table of contents

Foreword    
Gabriel Bernardino (Chairman of the European Insurance and Occupational Pensions Authority)

Introduction
Paolo Cadoni

1. Balance Sheet, Capital Requirements and Internal Models    
Paolo Cadoni

2. Partial Internal Models    
Juan Antonio Lumbreras

3. The Internal Model Approval Process    
Stefano Pasqualini

4. Policy for Model Changes    
Christian Kerfriden

5. Internal Models to Calculate the Group Solvency Requirement: the Perspective of the Home and Host Supervisor    
Régis Weisslinger, Agnieszka Groniowska and Perrine Kaltwasser

6. Use Test: Challenges and Opportunities    
Christopher Chappell, Elliot Varnell and Coomaren Vencatasawmy

7. Statistical Quality Standards: Challenges in Internal Model Implementation    
Markus Bellion, Christopher Lotz and Peter Müller

8. Representation, Reality, and the Solvency II Data Challenge    
Dean Buckner

9. Calibration standards
Ishtiaq Faiz

10. Profit and Loss Attribution    
Andrew Candland and Christopher Lotz

11. Internal Model Validation – the Regulatory Perspective    
Ravi Bharos, Christian Kerfriden and Vesa Ronkainen

12. Model Validation: An Industry Perspective    
Ben Carr

13. Solvency II Internal Model Documentation Requirements    
Dermot Marron

14. How to Review External Models and Data Embedded in the Modelling Framework
Asa Larson

15. The Limitations of Internal Models and the Supervisory Review Process    
Paolo Cadoni and Christian Kerfriden

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