EIOPA has provided an Update on Internal Model Consistency Projects (see https://eiopa.europa.eu/Publications/Other Documents/Update_on_internal_model_consistency_projects.pdf).
This confirms that EIOPA has been running three separate consistency projects, concretely these are:
– Market and Credit Risk Benchmarking Study
– Modelling of Sovereign Exposures
– Modelling of Dynamic Volatility Adjustment
EIOPA intends to publish a report in Q1 2018 detailing the results of the Market and Credit Risk Benchmarking Study which is also expected to include the quantitative observations from the Modelling of Sovereign Exposures project.
EIOPA further expects to carry out annual comparative studies on the modelling of market and credit risks. The next study will use end-2017 data and is expected to be completed by end-2018.