EIOPA published the results of its yearly study on the modelling of market and credit risk in internal models (here).
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 nearly 100% of Euro investments held by EEA undertakings with approved internal models for market and credit risk.
- reveals moderate to significant dispersion in some asset model outputs; part of the dispersion is probably attributable to specific models and business specificities.
- covers the modelling of market and credit risk related to investment instruments. As per previous editions, participants were asked about considering sustainability in their modelling approach.
- is intended to help further develop supervisory tools and foster common supervisory practices.
EIOPA launched another year-end 2023 survey, which will be published in early 2025 (here).
The secretariat of Insurance Europe will further assess the paper and publish a more detailed assessment if considered relevant.
For more information, please see (here).
Insurance Europe