JD Supra

The Standard Formula: A Guide to Solvency II – Chapter 9: Internal Models

There are two main methods of calculating the solvency capital requirement (SCR) under Solvency II, the “standard formula” and “internal model” methods: (a) The standard formula method, as its name ...
JD Supra

ECB Streamlines How It Supervises Banks' Internal Models

The European Central Bank (ECB) has announced changes to streamline the supervision of banks' internal models for credit risk, aimed at making the approval process for material model changes faster ...
San Francisco Fed

Internal Risk Models and the Estimation of Default Probabilities

A major advancement in risk management among large financial institutions has been the development of internal risk models. The models encompass institutions’ procedures and techniques for assessing ...
The Hill

The Fed’s bank stress test proposal would only heighten uncertainty

The justifications for the proposed changes to large bank regulatory capital requirements in the so-called “Basel III end-game” Notice of Proposed Rulemaking are schizophrenic. Regulators argue that ...