The secretariat of Insurance Europe has prepared a high-level summary of EIOPA’s report “YE2020 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 (IM) for market and credit risk, it includes regular enhancements, and the results are feeding into the Supervisory Review Process on IM.
Summary of EIOPA yearly study on the modelling of market and credit risk in internal models.pdf