Consistent standard formula replication (implicit correlations)

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Examples of Techniques to Integrate PIMs X ‣ Mixture of other techniques ‣ Combines two or more different techniques ‣ Advantages ‣ Captures advantages of different approaches ‣ Useful if a single technique may be inadequate ‣ Disadvantages ‣ Overall approach may lack consistency ‣ Can lead to cherry picking ‣ Conditions under which may be appropriate ‣ When a single technique is inadequate
Adaptations to Standards I Article 120 (Use test) ‣ Not apply to integration techniques prescribed by supervisory authority ‣ If other integration technique used internally, CEIOPS expects awareness of the different impact and documentation ‣ How different results are taken into account during decision making process ‣ Reasons for using a different integration technique ‣ Apply to the techniques selected from the Level 3 list (proportionality) Article 121 (Statistical quality <strong>standard</strong>s) ‣ Apply to the limited scope of PIM ‣ Apply to the integration technique if developed by the undertaking Article 122 (Calibration <strong>standard</strong>s) ‣ PIM calibrated to VaR with 99,5% over 1y ‣ Probability distribution forecast at the topmost level of PIM
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 and 10: Scope of partial internal models I
Page 11 and 12: Scope of partial internal models II
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 51: Examples of Techniques to Integrate
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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