Calibration standards

(1) Departing from section 97(2), insurance undertakings may use a different period or a different risk measure in the internal model, where it is ensured that the results of the internal model are used to calculate the Solvency Capital Requirement in a manner that grants policyholders a level of protection equivalent to that under section 97.
(2) Insofar as this is practically possible, insurance undertakings must derive the Solvency Capital Requirement directly from the probability distribution forecast generated by the internal model. The Value-at-Risk risk measure under section 97 must be used.
(3) The supervisory authority may permit approximations for calculating the Solvency Capital Requirement where the Solvency Capital Requirement cannot be derived directly from the probability distribution forecast generated by the internal model, and the insurance undertakings demonstrate to the supervisory authority that policyholders are granted a level of protection corresponding to section 97(2).
(4) At the request of the supervisory authority, the internal model must be applied to relevant benchmark portfolios. In doing so, at the request of the supervisory authority, assumptions based substantially on external data must be used, in order to verify the calibration of the internal model and to determine whether its specification is consistent with generally accepted market practice.