A Darwinian view on internal models

Paul Embrechts

Journal of Risk

Abstract: Current discussions on regulation within banking (Basel III and IV) as well as insurance (Solvency II and Swiss Solvency Test (SST)) are partly dominated by the way in which internal models may be used for the calculation of regulatory capital and solvency ratios. In this paper, I review these discussions from a historical, personal and academic point of view. I pay particular attention to the internal versus standard model debate, taking account of the various technological changes currently impacting on the financial industry worldwide.

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