Featured Product

    PRA Consults on Modeling of Volatility Adjustment for Solvency II

    April 11, 2018

    PRA published the consultation paper CP9/18, titled “Solvency II: Internal models – modeling of the volatility adjustment.” CP9/18 sets out the PRA proposal to consider applications from internal model firms that include a dynamic volatility adjustment (DVA). It sets out the draft expectations from internal model firms while determining the risks that might arise from DVA when calculating the solvency capital requirement (SCR). Comments are requested by July 11, 2018.

    CP9/18 is relevant to the UK Solvency II firms and to the Society of Lloyd’s and its managing agents. It is most relevant to firms with, or seeking, volatility adjustment approval and the firms that use a full or partial internal model to determine SCR, together with UK Solvency II firms that may develop a full or partial internal model in future. PRA proposes a new supervisory statement “Solvency II: Internal models – volatility adjustment in the modeling of market risk and credit risk stresses” (Appendix 1) and amendments to SS17/16 “Solvency II: internal models – assessment, model change and the role of non-executive directors” (Appendix 2). In SS17/16, PRA set out its expectation that an internal model firm should not recognize DVA within its SCR.

    PRA is consulting on the possibility of allowing firms to apply DVA in internal models when calculating SCR and the adoption of the draft supervisory statement. CP9/18 highlights the areas that PRA proposes firms to consider in their internal model and model change applications when seeking approval to apply DVA. These proposals are presented in the draft supervisory statement and revisions to SS17/16. 

     

    Related Links

    Comment Due Date: July 11, 2018

    Keywords: Europe, UK, Insurance, Solvency II, Internal Models, CP9/18, SS17/16, Volatility Adjustment, PRA

    Featured Experts
    Related Articles
    News

    BIS Innovation Hub Sets Out Work Program for 2021

    BIS Innovation Hub published the work program for 2021, with focus on suptech and regtech, next-generation financial market infrastructure, central bank digital currencies, open finance, green finance, and cyber security.

    January 22, 2021 WebPage Regulatory News
    News

    EC Plans to Consult on Crisis Management and EDIS Framework Revisions

    In an article published by SRB, Mairead McGuinness, the European Commissioner for Financial Services, Financial Stability, and Capital Markets Union, discussed the progress and next steps toward completion of the Banking Union.

    January 21, 2021 WebPage Regulatory News
    News

    EBA Finalizes Remuneration Standards for Investment Firms in EU

    EBA finalized the two sets of draft regulatory technical standards on the identification of material risk-takers and on the classes of instruments used for remuneration under the Investment Firms Directive (IFD).

    January 21, 2021 WebPage Regulatory News
    News

    ECA Recommends Actions to Enhance Resolution Planning for Banks

    EC published, in the Official Journal of the European Union, a notification that the European Court of Auditors (ECA) has published a special report on resolution planning in the Single Resolution Mechanism.

    January 20, 2021 WebPage Regulatory News
    News

    BoE Publishes Key Elements of the 2021 Stress Testing for Banks in UK

    BoE published a scenario against which it will be stress testing banks in 2021, in addition to setting out the key elements of the 2021 stress test, guidance on the 2021 stress test, and the variable paths for the 2021 stress test.

    January 20, 2021 WebPage Regulatory News
    News

    PRA Proposes Rules on Identity Verification of Depositor Protection

    PRA published a consultation paper (CP3/21) proposes rules regarding the timing of identity verification required for eligibility of depositor protection under the Financial Services Compensation Scheme (FSCS).

    January 20, 2021 WebPage Regulatory News
    News

    FSB Publishes Work Program for 2021

    FSB published the work program for 2021, which reflects a strategic shift in priorities in the COVID-19 environment.

    January 20, 2021 WebPage Regulatory News
    News

    FCA Issues Update on Move to New Data Collection Platform

    FCA announced that 50% firms have started using the new data collection platform RegData, which is slated to replace the existing platform known Gabriel.

    January 20, 2021 WebPage Regulatory News
    News

    Bundesbank Publishes Derivation Rules for Reporting by Banks

    Bundesbank published Version 5.0 of the derivation rules for completeness check at the form level, with respect to the data quality of the European harmonized reporting system.

    January 19, 2021 WebPage Regulatory News
    News

    FED Revises Capital Planning and Stress Testing Requirements for Banks

    FED finalized a rule that updates capital planning requirements to reflect the new framework from 2019 that sorts large banks into categories, with requirements that are tailored to the risks of each category.

    January 19, 2021 WebPage Regulatory News
    RESULTS 1 - 10 OF 6488