Transcription of ECONOMIC CAPITAL MODEL VALIDATION - …
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ECONOMIC CAPITAL MODEL VALIDATION - …
ECONOMIC CAPITALMODEL VALIDATIONM arkus StrickerWillis ECONOMIC CAPITAL ForumDavid SimmonsWillis ReDave IngramWillis ReContentsAbstract ..1 Section I: Introduction ..2 Section II: Motivations for MODEL VALIDATION ..3 Lessons from the banking industry ..3 Insurance regulation ..3 Rating agencies ..5 Section III: Structuring a VALIDATION process: what, who, What: assessing the level of MODEL risk ..7 Who should validate? ..8 How: an overview ..8 Section IV: Proposed VALIDATION process ..9 1. Conceptual risk ..9 2. Implementation risk ..11 3. Input risk ..12 4. Output risk ..13 5. Reporting risk ..14 Considerations for specific types of sub-models ..15 Conclusion ..18 Appendix: Sample VALIDATION checklist ..19 1. Conceptual risk ..19 2. Implementation risk ..19 3. Input risk ..19 4. Output risk ..19 5. Reporting risk ..19 Considerations for specific types of sub-models ..20 References: ..21 Page 1 ECONOMIC CAPITAL MODEL ValidationAbstractThe paper considers ECONOMIC CAPITAL MODEL (ECM) VALIDATION from different viewpoints: regulators, management, rating agencies and parallel developments in the banking sector.
Economic Capital Model Validation Abstract The paper considers Economic Capital Model (ECM)
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