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Table Of Contents

Executive Summary
1. Introduction
2. Summary of key conclusions and observations
3. Aggregation methods within regulatory frameworks
4. Developments in firms' risk aggregation methods
5. Validation and management of model risks in risk aggregation
6. Diversification effects in risk aggregation
7. Supervisory reliance on firms’ risk aggregation results
8. Potential improvements to risk aggregation
Annex A
Risk aggregation in the Basel II Capital Framework
Annex B
Canadian Minimum Continuing Capital and Surplus Requirements (MCCSR)
Annex C
European Union Solvency II Directive
Annex D
The Swiss Framework for Insurance Companies
Annex E
US Insurance Risk Based Capital (RBC) Solvency Framework
Annex F
Developments in firms' risk aggregation methods
Annex G
Technical underpinnings of aggregation methods
Annex H
Approaches to managing model risks for risk aggregation processes
Annex I
Diversification effects within risk aggregation
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IOSCOPD335

IOSCOPD335

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Published by Chou Chantra
Cambodia Securities Law
Cambodia Securities Law

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Categories:Types, Business/Law
Published by: Chou Chantra on Aug 23, 2013
Copyright:Attribution Non-commercial

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01/02/2014

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