EIOPA Publishes First Comparative Study On Market And Credit Risk Modelling

Author:Arthur Cox
Profession:Arthur Cox

Market and Credit risk contribute significantly to the solvency capital requirement (SCR) of insurers and their internal models used to calculate SCR.  On 22 May, EIOPA published a report summarising its findings from a European wide comparative study undertaken in 2016/2017 of market and credit risk in internal models based on year-end development tools with the aim of fostering common supervisory practices.

EIOPA's key finding was that there were significant variations in asset model outputs, but that more detailed scrutiny of asset types was required to explore the underlying causes. According to EIOPA the report is the first step in an ongoing process of monitoring and comparing internal market and...

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