May 22, 2018

EIOPA published the results of the first study on the modeling of market and credit risks in the insurance sector. This report summarizes the key findings from the study undertaken in 2016-2017 and provides an insight into the supervisory initiatives being undertaken following the conclusions of this study.

The results show significant variations in asset model outputs, partially resulting from model specificities, which indicates the need for further supervisory intervention. However, this report should be considered as a first step in an ongoing process of monitoring and comparing internal market and credit risk models. This will be complemented by further refinements and developments in the future and the results, tools, and experience will feed into the Supervisory Review Process on internal models and vice versa. The findings also indicate the need for further supervisory scrutiny, including at the European level. Consequently, EIOPA has decided to perform regular annual studies to further develop supervisory tools and foster consistency of supervisory approaches.

Market and credit risks contribute significantly to the solvency capital requirement of insurance undertakings and are of material importance for the majority of internal model undertakings. Consequently, with the first official Solvency II reporting, a project group of several national competent authorities and EIOPA started a Europe-wide comparative study of market and credit risks in internal models based on the year-end 2015 data, aiming for a systematic stock take, the development of tools, and to foster common supervisory practices. 

 

Related Links

Keywords: Europe, EU, Insurance, Solvency II, Market Risk, Credit Risk, Internal Models, EIOPA

Related Articles
News

FSB to Evaluate Effects of Too-Big-To-Fail Reforms for Systemic Banks

FSB is seeking feedback as part of its evaluation of the effects of the too-big-to-fail reforms for banks.

May 23, 2019 WebPage Regulatory News
News

APRA Releases Minor Changes to Reporting Standards on SA-CCR for Banks

APRA released minor changes to the three reporting standards for the standardized approach for measuring counterparty credit risk exposures (SA-CCR).

May 22, 2019 WebPage Regulatory News
News

APRA on Industry Self-Assessments into Governance and Accountability

APRA released an information paper analyzing the self-assessments performed by 36 of the country’s largest banks, insurers, and superannuation licensees in response to the final report on the Prudential Inquiry into the Commonwealth Bank of Australia (CBA).

May 22, 2019 WebPage Regulatory News
News

PRA Consults on Maintenance of TMTP Under Solvency II

PRA published a consultation paper (CP11/19) that sets out its approach to update supervisory statement (SS6/16) on maintenance of the transitional measure on technical provisions (TMTP) under Solvency II.

May 22, 2019 WebPage Regulatory News
News

APRA Proposes to Amend Guidance on Residential Mortgage Lending

APRA is consulting on revisions to the prudential practice guide APG 223 on residential mortgage lending in Australia.

May 21, 2019 WebPage Regulatory News
News

IASB Proposes Improvements to IFRS 9 and IFRS 16

IASB published the exposure draft ED 2019/2 that proposes amendments to four IFRS standards, including IFRS 9 on Financial Instruments and IFRS 16 on Leases.

May 21, 2019 WebPage Regulatory News
News

Denis Beau of BDF on Supervisory Priorities for Climate-Change Risks

Denis Beau, the First Deputy Governor of BDF, delivered opening remarks at the BCBS-BSCEE-FSI High-level Meeting for Europe on banking supervision.

May 21, 2019 WebPage Regulatory News
News

ISDA CDM to be Deployed for UK Digital Regulatory Reporting Pilot

ISDA announced deployment of the ISDA Common Domain Model (ISDA CDM 2.0) to support the UK FCA, BoE, and participating financial institutions in testing phase two of the Digital Regulatory Reporting pilot for derivatives.

May 21, 2019 WebPage Regulatory News
News

MAS to Consolidate Regulation of Merchant Banks Under Banking Act

MAS published a consultation paper that proposes to consolidate the regulation of merchant banks under the Banking Act and to move merchant banks to a licensing regime under the MAS Act.

May 21, 2019 WebPage Regulatory News
News

ESAs Amend Technical Standards on Mapping of ECAIs Under CRR

ESAs published a second amendment to the implementing technical standards on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs) for credit risk under the Capital Requirements Regulation (CRR).

May 20, 2019 WebPage Regulatory News
RESULTS 1 - 10 OF 3118