Consistent standard formula replication (implicit correlations)

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Scope of partial internal models II ‣ Taking as an example the risk modules and business units as expressed in the standard formula, there are different levels of granularity to which PIMs can be applicable:
Scope of partial internal models III ‣ Undertakings may use different risk categorizations than in the standard formula e.g. ‣ Modeling risks not covered by the standard formula ‣ Using a different time period or risk measure ‣ Not following a modular structure ‣ Some examples of PIMs are given in the following slides
Page 1 and 2: Konzultační materiály CEIOPS Č
Page 3 and 4: Legal Basis I Level 1 Text for inte
Page 5 and 6: Legal Basis III ‣ Subsection 1 Ar
Page 7 and 8: Legal Basis V Article 120-126 ‣ U
Page 9: Scope of partial internal models I
Page 13 and 14: 1b1) Modeling two (or more) risk mo
Page 15 and 16: 1c2) Modeling two (or more) risk mo
Page 17 and 18: 2b1) Modeling two (or more) risk su
Page 19 and 20: 2c1) Modeling two (or more) risk su
Page 21 and 22: 3a1) Modeling two (or more) risk su
Page 23 and 24: 4) Modeling one (or more) risk modu
Page 25 and 26: 6) Risks not modeled in the standar
Page 27 and 28: 8) Different risk calibration eithe
Page 29 and 30: 18) Modeling the adjustment for the
Page 31 and 32: Major business units I ‣ Business
Page 33 and 34: Specific provisions for the approva
Page 35 and 36: Specific provisions for the approva
Page 37 and 38: Policy options regarding the integr
Page 43 and 44: Examples of Techniques to Integrate
Page 53 and 54: Adaptations to Standards I Article
Page 55 and 56: Risks not Covered in the Standard F
Page 57: Děkuji za pozornost! Vladimíra Un

Consistent standard formula replication (implicit correlations)

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