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Calibration Principles
Calibration Principles

Calibration Principles

The Solvency II standard formula to calculate a company's Solvency Capital Requirement should present a balancing act between various targets such as simplicity, risk sensitivity and robustness. The CRO Forum believes the main principles of the current standard formula, namely to asses the sensitivity with respect to all material risk factors and to aggregate capital requirements allowing for diversification, are appropriate for this purpose and moreover set incentives towards risk mitigation strategies.

admin_bruce2026-02-11T14:04:50+00:00May 1st, 2009|

Addressing the pro-cyclical nature of Solvency II
Addressing the pro-cyclical nature of Solvency II

Addressing the pro-cyclical nature of Solvency II

Risk capital charges in the Solvency II context reflect the 99.5% quantile on a 1-year horizon. The consistent application of risk capital charges in Solvency II to all sources of risk is imperative. Inconsistent application of risk charges creates perverse incentives for certain asset classes or insurance products.

admin_bruce2026-02-11T14:06:09+00:00November 25th, 2008|

Public risk discl. under Solvency II
Public risk discl. under Solvency II

Public risk discl. under Solvency II

as a basis for discussion on the implementing measures for articles 50-55 of the EU Solvency II Draft Directive. The CRO Forum advocates a principles-based approach: Section B of this paper establishes five main principles for public risk disclosure which should be adhered to by all undertakings.

admin_bruce2026-02-11T14:06:46+00:00November 17th, 2008|

CRO Forum response on the credit crisis
CRO Forum response on the credit crisis

CRO Forum response on the credit crisis

Financial Crisis strongly reinforces the case for Solvency II. EU should not water down the Solvency II directive or postpone the legislative process New CRO Forum publication comments on the consequences of the financial crisis forEnterprise Risk Management and regulation in the insurance industry

admin_bruce2026-02-11T14:09:42+00:00October 23rd, 2008|

Solvency II Methodology to calculate the MCR
Solvency II Methodology to calculate the MCR

Solvency II Methodology to calculate the MCR

admin_bruce2026-02-11T14:12:23+00:00January 25th, 2008|

CRO Forum feedback on Solvency II draft Directive
CRO Forum feedback on Solvency II draft Directive

CRO Forum feedback on Solvency II draft Directive

We have been an active participant in the Solvency II discussions that have taken place before the publication of the Solvency II directive promoting a risk-based and economic approach. We have therefore published a number of own initiatives papers on issues covering the cost of capital approach to market value margin (MVM), diversification benefits, internal models and financial risk mitigation and has responded to CEIOPS consultation papers.

admin_bruce2026-02-11T15:19:49+00:00October 14th, 2007|

CRO Forum comments on Consultation Paper no. 17
CRO Forum comments on Consultation Paper no. 17

CRO Forum comments on Consultation Paper no. 17

CRO Forum's response to CEIOPS Consultation Paper no. 17: draft advice to the European Commission in the framework of the Solvency II project on Pillar 2 capital add-ons for solo and group undertakings We welcome this Consultation Paper from CEIOPS. The CRO Forum supports the inclusion of powers for a capital add-on in the Solvency II framework directive. However, we must emphasise that capital add-ons should be seen as a last resort as expressed, for example, in article 136(2) of the EU's Capital Requirements Directive.

admin_bruce2026-02-11T15:21:43+00:00January 12th, 2007|

CRO Forum response to FSA/HMT Discussion Document
CRO Forum response to FSA/HMT Discussion Document

CRO Forum response to FSA/HMT Discussion Document

We welcome this discussion document from the FSA and HMT which contains very useful principles for prudential supervision of groups in Solvency II.

admin_bruce2026-02-11T15:22:56+00:00December 12th, 2006|

CRO Forum feedback on key issues arising from the QIS II consultation
CRO Forum feedback on key issues arising from the QIS II consultation

CRO Forum feedback on key issues arising from the QIS II consultation

While the exercise has highlighted a number of areas which require further consideration and discussion, the CRO Forum believes CEIOPS has achieved an important step in providing this new basis for discussion.

admin_bruce2026-02-11T15:23:38+00:00November 14th, 2006|

Feedback on CEIOPS Consultation Paper 14
Feedback on CEIOPS Consultation Paper 14

Feedback on CEIOPS Consultation Paper 14

This presentation is based upon the consolidated responses of the Chief Risk Officer Forum and Comité Européen des Assurancesto CEIOPS-CP-03/06, "Draft Advice to the European Commission in the framework of the Solvency II project on subgroup supervisions, diversification effects, cooperation with third countries and issues related to the MCR and SCR in a group context."

admin_bruce2026-02-11T15:24:17+00:00September 22nd, 2006|

Solvency II

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Calibration Principles

Calibration Principles

Addressing the pro-cyclical nature of Solvency II

Addressing the pro-cyclical nature of Solvency II

Public risk discl. under Solvency II

Public risk discl. under Solvency II

CRO Forum response on the credit crisis

CRO Forum response on the credit crisis

Solvency II Methodology to calculate the MCR

Solvency II Methodology to calculate the MCR

CRO Forum feedback on Solvency II draft Directive

CRO Forum feedback on Solvency II draft Directive

CRO Forum comments on Consultation Paper no. 17

CRO Forum comments on Consultation Paper no. 17

CRO Forum response to FSA/HMT Discussion Document

CRO Forum response to FSA/HMT Discussion Document

CRO Forum feedback on key issues arising from the QIS II consultation

CRO Forum feedback on key issues arising from the QIS II consultation

Feedback on CEIOPS Consultation Paper 14

Feedback on CEIOPS Consultation Paper 14