ECONOMIC CAPITAL MODEL VALIDATION - …

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ECONOMIC CAPITALMODEL VALIDATIONMarkus StrickerWillis ECONOMIC CAPITAL ForumDavid SimmonsWillis ReDave IngramWillis ReContentsAbstract ........................................ ........................................ .......1Section I: Introduction ........................................ ..........................2Section II: Motivations for MODEL VALIDATION .................................3 Lessons from the banking industry .....................................3 Insurance regulation ........................................ ...................3 Rating agencies ........................................ ..........................5Section III: Structuring a VALIDATION process: what, who, What: assessing the level of MODEL risk ..............................7 Who should validate? ........................................ .................8 How: an overview.

Economic Capital Model Validation Abstract The paper considers Economic Capital Model (ECM)

  Economic, Capital, Economic capital