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Journal Article
Validating operational risk models
2024
Overview
For SBA, what tends to happen is that you carry out scenario analysis at Level 2, but then the problem you face is that you only focus on one or two sub-risks; hence the question arises as to whether we are properly covering all the other sub-risks. Often, life companies might only be collecting data for 20 years or so, and this might not be enough time, particularly for very low-frequency, high-impact losses. If you are validating a Solvency II Internal Model, the fact that you, as an independent knowledgeable third party, cannot understand the model means that there has probably been a breach of Internal Model rules regarding documentation. The inputs like the actual loss data and scenarios have a lot to offer to the business.
Publisher
Cambridge University Press
Subject
