EIOPA publishes the results from its yearly study on the modelling of market and credit risk
Published By Europa [English], Fri, Apr 9, 2021 3:23 AM
The European insurance and Occupational Pensions Authority (EIOPA) published today the results from its yearly study on the modelling of market and credit risk (MCRCS). This study is based on simplified asset-liability-portfolios and also focusses on the analysis of interest rate ‘down’ movements, comparison of model results to historical market experience, and preliminary analyses on dependency structures.
As in past studies, the overall results continue to show significant variations in asset model outputs, which are partly attributable to model and business specificities already known by the relevant national competent authorities, but also indicate a need for further supervisory scrutiny.
The results, tools and experience feed into the Supervisory Review Process on internal models, and are also used to assess model changes or models in pre-applications.
The report shows the following conclusions
This year’s study includes also the following new elements
The year-end 2020 survey was launched on 15 January 2021 and the results will be published in early 2022.
Press release distributed by Media Pigeon on behalf of Europa, on Apr 9, 2021. For more information subscribe and follow