12
Calibration Standards
12.1
A firm may use, for internal modelling purposes, a different time period or risk measure than that set out in Solvency Capital Requirement – General Provisions 3.4 only where the outputs of the internal model can be used by the firm to calculate the SCR in a manner that provides policyholders with a level of protection equivalent to that set out in Solvency Capital Requirement – General Provisions 3.2 to 3.5.
[Note: Art. 122(1) of the Solvency II Directive]
- 01/01/2016
12.2
A firm must derive the SCR directly from the probability distribution forecast generated by its internal model, using the Value-at-Risk risk measure set out in Solvency Capital Requirement – General Provisions 3.4.
[Note: Art. 122(2) of the Solvency II Directive]
- 01/01/2016
12.3
When required to do so by the PRA, a firm must run its internal model on relevant benchmark portfolios, using assumptions based on external rather than internal data in order to verify the calibration of the internal model and to check that its specification is in line with generally accepted market practice.
[Note: Art. 122(4) of the Solvency II Directive]
- 01/01/2016