EIOPA published the results of its yearly study on the modelling of market and credit risk in internal models.
In summary, the study:
• was run by a joint project group of NCAs and EIOPA, and it provides an up-to-date overview of modelling approaches
• covers close to 100% of the relevant section of the market
• reveals moderate to significant dispersion in some model outputs, and show sizeable variation of results of the combined credit and market risk charges between undertakings
• covers credit risk, equity risk, property risk and the extent to which insurers consider sustainability in their modelling approach
• is intended to help further develop supervisory tools and foster common supervisory practices.
EIOPA launched another year-end 2021 survey and the results will be published in early 2023.
The secretariat will further assess the paper and publish a more detailed assessment if considered relevant.
For more information, please see here.
Insurance Europe