The secretariat of Insurance Europe has prepared a high-level summary of EIOPA’s report “YE2022 Comparative Study on Market and Credit Risk Modelling” (here), which contains the results of EIOPA’s yearly study on the modelling of market and credit risk in internal models.
The report is part of an ongoing process of monitoring and comparing internal models (IMs) for market and credit risk. EIOPA notes that the study and the subsequent report include regular refinements and enhancements, and the results feed into the Supervisory Review Process on IMs.