Prudential Regulation Authority Rulebook

15.1

A firm must document the design and operational details of its internal model.

[Note: Art. 125 of the Solvency II Directive]

15.2

The documentation referred to in 15.1 must:

1. (1) demonstrate compliance with 10 to 14, 16 and 16A;
2. (2) provide a detailed outline of the theory, assumptions, and mathematical and empirical bases underlying the internal model;
3. (3) indicate any circumstances under which the internal model does not work effectively;
4. (4) include all major changes to the internal model, as referred to in 6; and
5. (5) in the case of a partial internal model, in addition to the requirements in 15.2(1) to 15.2(4):
   1. (a) include the justification for the limited scope of the internal model;
   2. (b) include a description of the integration technique used to fully integrate the capital requirement generated by the partial internal model into the standard formula SCR; and
   3. (c) demonstrate compliance with 4.2(2) and (3).

[Note: Art. 125 of the Solvency II Directive]