EIOPA Issues Technical Specifications for Market and Credit Risk Study
EIOPA published the technical specifications, including instructions, for the market and credit risk modeling comparative study for year-end 2019. The instructions provide directions to the insurance undertakings participating in the annual, Europe-wide comparative study on the internal modeling of market and credit risk on financial instruments. In this edition, the study will include a focus on the interest rate risk modeling. Insurance undertakings using an internal model covering market risk and holding material exposure to the Euro-denominated investments are expected to take part in the study. Participants are required to submit the relevant information to their national supervisory authorities by May 31, 2020. The national authorities, in turn, must report this information to EIOPA by June 30, 2020.
Market risk contributes significantly to the overall solvency capital requirement (SCR) of insurance undertakings. The key objective of this study is to compare risk charges for a selection of asset portfolios to be used as a tool for the supervisory review of internal models. The study also aims to highlight the causes of potential differences between internal models by analyzing risk charges for individual asset classes such as fixed income or equity. Appendix 1 to the instructions provides an overview on which response templates have to be filled in for which model types. Participants are requested to follow the instructions for filling out the data request, using the provided answer templates.
The previous editions of this study targeted the combined market and credit risks, with the ambition to resolve some shortcomings and to improve the tools to reflect the typical model choices encountered in practice. The comparative study for year-end 2019 is largely based on the previous edition. A section (Section IV.1 ) of the instructions document explains the changes from the study for year-end 2018 to the current study. EIOPA expects to publish the conclusions of the study within one year following the end of the data collection, in an aggregated form, to avoid the identification of individual participants.
Related Links
Keywords: Europe, EU, Insurance, Securities, SCR, Market Risk, Credit Risk, Solvency II, Interest Rate Risk, Internal Model, Financial Instruments, EIOPA
Featured Experts
Adam Koursaris
Asset and liability management expert; capable modeler; risk and capital specialist
Cassandra Hannibal
Life insurance actuary; risk management and economic capital specialist
Jerome Ogrodzki
Insurance asset and liabilities modeling specialist; stochastic modeling expert
Previous Article
EBA Publishes Report on Adoption of Big Data and Advanced AnalyticsRelated Articles
EBA Publishes Standards on Disclosure of Investment Policy Under IFR
The European Banking Authority (EBA) published the final draft regulatory technical standards on disclosure of investment policy by investment firms, under the Investment Firms Regulation (IFR).
EBA Updates Filing Rules for Supervisory Reporting
The European Banking Authority (EBA) published version 5.1 of the filing rules for supervisory reporting.
ECB Amends Guideline on Procedures for Collection of AnaCredit Data
The European Central Bank (ECB) Guideline 2021/1829 on the procedures for the collection of granular credit and credit risk data has been published in the Official Journal of European Union.
ECB Amends Guideline on Procedures for Collection of AnaCredit Data
The European Central Bank (ECB) Guideline 2021/1829 on the procedures for the collection of granular credit and credit risk data has been published in the Official Journal of European Union.
APRA Finalizes Guidance for New Prudential Standard on Remuneration
The Australian Prudential Regulation Authority (APRA) published the prudential practice guide CPG 511 to assist banks, insurers, and superannuation licensees in meeting requirements of CPS 511, the new prudential standard on remuneration.
OCC Updated LIBOR Self-Assessment Tool for Banks
The Office of the Comptroller of the Currency (OCC) published a bulletin that provides an updated self-assessment tool for banks to evaluate their preparedness for cessation of the London Interbank Offered Rate (LIBOR).
TCFD Updates Guidance for Financial Disclosures on Climate Risk
The Financial Stability Board (FSB) published a report that examines the progress made toward disclosures aligned with recommendations of the Task Force on Climate-related Financial Disclosures (TCFD).
BCBS Report Examines Progress on Adoption of Basel III Framework
The Basel Committee on Banking Supervision (BCBS) published the progress report on adoption of the Basel III regulatory framework in member jurisdictions.
ACPR Implements Updates Related to DPM Version 3.1
The French Prudential Supervisory Authority (ACPR) has implemented, in its information system, updates linked to the Data Point Model (DPM) version 3.1.
EBA Note Examines Transition Risks of Benchmark Rates
The European Banking Authority (EBA) published a thematic note that aims to identify and raise awareness of the transition risks of benchmark rates, as the London Interbank Offered Rate (LIBOR) and the Euro Overnight Index Average (EONIA) are close to being phased out.
