On 22 May, EIOPA published its First Comparative Study on Market and Credit Risk Modelling report.
This reports on EIOPA’s two-year study of market and credit risk in internal models, based on YE 2015 data.
This study attempted to compare the calibrations of the market and credit risk within internal models by benchmarking them with a set of standard portfolios. The results show a divergence of calibrations across the ten portfolios tested which EIOPA believes “indicate a need for further supervisory scrutiny”. However, the report also makes note of the limitations in the study and, in particular, the evolution of internal models which has occurred since YE 2015.
Going forward, EIOPA will perform regular studies on market and credit risk modelling in internal models. The next study is due to be performed on YE 2017 data. A data request for this has already been issued.
https://eiopa.europa.eu/Pages/Supervision/Insurance/Data_request_for_MCRCS.aspx