PRA reveals approach to preventing 'model drift'

UK regulator the Prudential Regulation Authority (PRA) this week
(25 May) released a consultation paper setting out its approach to
monitoring "model drift" for companies with internal
model approval.
Under Solvency II, Solvency Capital Requirements (SCRs) are
calculated using approved internal models and the PRA said that
there was a risk that as these could evolve over time and
"drift" away from their origins.
This could lead to a risk of capital levels creeping down and
failing to adequately