ERM Frameworks and Responses to risk [61]

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Bullet points include: SCR risk modules (as specified in QIS5): Market (SCRMkt) Default (SCRDef) Life (SCRLife) Health (SCRHealth) Non-Life (SCRNon-Life) Operational (SCROp) Within each module stress tests are combined via a covariance based approach that includes some recognition of risk diversification. Diversification also recognised across modules, except for Operational risk

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