ERM frameworks [40]

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Bullet points include: Two capital requirements. Solvency Capital Requirement (SCR) – based on one year 99.5% VaR. Minimum Capital Requirement (MCR) – lower figure which if breached may trigger de-authorisation. Interaction with Own Risk and Solvency Assessment (ORSA). In Standard Formula, SCR is parametric, in internal models firms employ their own models (if authorised by supervisors).. MCR more formulaic, but constrained by a band derived from SCR

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