Nematrian
/


ERM Frameworks and Responses to risk [62]

Go to: Summary | Previous | Next   
Bullet points include: Overall SCR calculated as: SCR = BSCR + Adj + SCROp BSCR = Basic Solvency Capital Requirement = where: Corri,j = entries in a prespecified correlation matrix SCRi and SCRj are capital requirements for individual SCR risks according to corresponding rows and columns of Corr SCRi calculated in modular fashion, i.e. like BSCR but with different correlations SCROp = capital requirement for operational risk, Adj = adjustment for risk absorbing effect of technical provisions and deferred taxes

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile