Use test

Internal model calculations

Frequency

Granularity

Run time

Calibration

Validation

Apply proportionality principle

Clarity around model limitations

Role of the CRO within the board

Are granularity and frequency appropriate for the use of the IM within the group?

Policy for changing the model

Numbers of changes should not be automatically seen by NSAs as a negative signal.

How should be considered an IM BEFORE a major change is approved? ok for reporting?

Economic model

Which are the conditions for accepting the use of a different Economic model?

Which elements generate differences between the eco. and regul. models?

Contract boundaries

Difference in swap curve

Volatility and matching adjustments

Allowance for diversification benefits

1-year view vs. Ultimate

Spread risk assumption on Govies

Uses of the internal model

Business/portfolio acquisition or disposal

Product pricing

Reinsurance optimisation

Business strategy

Capital allocation

Remuneration/incentive

RM: risk ranking, limits, risk appetite...

ORSA

AMSB

Understands the model

Which board members need to understand the model? Which minimum level of understanding do board members need? How frequently should NSAs assess this understanding?

Effectively uses the model

Gives feedback on the model