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 asset model outputs; part of the dispersion is probably attributable to certain model and business specificities.
- covers the modelling of the market and credit risk related to investment instruments; and as per the last edition, participants were asked about the consideration of sustainability in their modelling approach
- is intended to help further develop supervisory tools and foster common supervisory practices.
EIOPA launched another year-end 2022 survey and the results will be published in early 2024.
Summary of EIOPA yearly study on the modelling of market and credit risk in internal models.pdf
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