Capital Methodology survey 2016

What is the Capital Methodology survey?

We carry out the Capital Methodology survey every two years. It provides a detailed analysis of how the industry is building capital models, covering a wide range of model building aspects from data considerations to choice of statistical models and the use of scenarios.

A unique benchmark

The Capital Methodology survey provides the only industry benchmark of model building practice. Internal models remain vital for internal risk measurement and stress testing exercises despite the proposed introduction of the Standardised Measurement Approach (SMA).

Participants receive a report presenting both a global and a regional benchmark. The report is a guide for good model building practice and the regional benchmarks allow you to compare use of methodology with your local peers.

It can be used to defend an approach to supervisors, as a reference guide allowing you to check common practice during a model build or update and to promote better practice within the industry.

What does it cover?

The survey covers the four components of model building: internal data; external data; use of scenarios; and business environment and internal control factors (BEICFs). Participants share a high level of detail through a multiple choice survey. Topics include:

• The treatment of data
• Use of standard statistical models
• Model fitting
• Insurance mitigation
• Diversification modelling
• Validation

Participants receive a report presenting both a global and a regional benchmark. The report is a guide for good model building practice and the regional benchmarks allow you to compare use of methodology with your local peers.