Back-testing is an important part of model validation, as acknowledged in CEIOPS
is composed of high level representatives from the insurance and occupational pensions supervisory authorities of Member States of the European Union.
5 percent and a 1-year time horizon (see EC, 2010; CEIOPS
Mihaly Erdos, Senior Advisor to the President of Hungary, Member of the EU Committee CEIOPS
, Member of the Hungarian Financial Supervisory Authority
, 2009, Lessons Learned From the Crisis: Solvency II and Beyond.
recommended that only the regulatory regimes of Bermuda and Switzerland be further examined during the first wave for compliance with all three levels of equivalence.
The EU group assigned to take comment and work on implementation is the Committee of European Insurance and Occupational Pensions Supervisors, known as CEIOPS
to impose capital charges on reinsurers and SPV recoverables and risk mitigating effects on the standard capital requirement for underwriting risks: the amount of required capital is in proportion of their probability of default (for that purpose, CEIOPS
suggests to use reinsurers' and SPVs' rating by credit rating agencies weighted by an Herfindahl measure of counterparty risk concentration) (24) after having taken into account the risk mitigating effects of collaterals and letters of credit;
In a letter submitted by the European Securitization Forum (ESF) to the CEIOPS
regarding securitization and Solvency II, the ESF recommends that securitization, reinsurance, and credit derivatives be treated in a similar way from a capital relief perspective, irrespective of the legal form of transfer.
John Tiner, the FSA's chief executive, is the authority's representative on the Committee of European Insurance and Occupational Pensions Supervisors and a member of the managing board of CEIOPS
European Commission, 2005a, Specific Calls for Advice from CEIOPS
European Commission, 2004, MARKT/2543/03: Note to the IC Solvency Subcommittee, Subject: Solvency II--Organisation of work, discussion on pillar I work areas and suggestions of further work on pillar II for CEIOPS
, World Wide Web: http://europa.