Own Risk and Solvency Assessment (ORSA) | Prudential Regulation Authority Handbook & Rulebook

Guidance

SS9/18 – Solvency II: Internal models – modelling of the volatility adjustment

Chapter

Own Risk and Solvency Assessment (ORSA)

Printed on: 26/06/2024

Rulebook at: 17/10/2018

5

Own Risk and Solvency Assessment (ORSA)

5.1

The PRA expects that, where a DVA is applied, firms continue to capture all non-quantifiable risk within their ORSA.¹¹

11. See Article 44(2) of Directive 2009/138/EC and 1.19 of Guideline 7 of EIOPA’s ‘Guidelines on own risk and solvency assessment’: https://eiopa.europa.eu/GuidelinesSII/EIOPA_Guidelines_on_ORSA_EN.pdf.

17/10/2018