ECONOMIC CAPITAL MODEL VALIDATION - willisre.com

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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.

need for careful description of the purpose of the model, its applications, and its users. Without these it is impossible for the validation team to assess the adequacy of the concepts

  Economic, Applications, Capital, Concept, Economic capital