Featured Product

    EIOPA Launches Study on Diversification in Solvency II Internal Models

    October 02, 2020

    EIOPA launched a comparative study on diversification in internal models among insurers in EU. The study comprises quantitative reporting and a qualitative questionnaire, which are accompanied by the detailed technical specifications, including examples, to adequately fill out the templates, given the bespoke internal models. Insurance undertakings are required to submit results to their group national supervisory authority by January 15, 2020 while the national supervisory authorities should report to EIOPA by January 15, 2020.

    The study will be conducted in two phases to balance complexity and completeness. The first phase of the study, which starts in early October 2020, will focus on top-level risk dependencies between market, credit, life, non-life, health, and operational risks. However, the second phase of the study, in the second quarter of 2021, will assess the lower level inter-risk dependencies, to complete the understanding of diversification effects, in combination to the respective risk profiles. For undertakings applying the same correlation settings and aggregation structure as the standard formula, the first phase is limited to a subset of the qualitative questionnaire. Diversification effects depend on a variety of factors, such as the level of correlations, tail dependencies, number of risk factors, shape of underlying distributions, and the dependency structures. The modeling of dependencies and aggregation, in effect typically called diversification, within internal models has a significant impact on the overall solvency capital requirement (SCR) of insurance undertakings. This study is intended to

    • gain an overview of the current approaches in the market and, on a best effort basis, analyze and compare the levels of diversification.
    • facilitate a better understanding of modeling dependencies, aggregation, and the resulting diversification benefits.
    • enhance quality and convergence of supervision on diversification in internal models.

     

     

    Related Links

    Keywords: Europe, EU, Insurance, Internal Models, Solvency II, SCR, Solvency Capital Requirement, EIOPA

    Featured Experts
    Related Articles
    News

    Regulators Fine Goldman Sachs for Risk Management Failures

    FCA and PRA in the UK, FED in the US, and the authorities in Singapore have fined Goldman Sachs for risk management failures in connection with the 1Malaysia Development Berhad (1MDB).

    October 23, 2020 WebPage Regulatory News
    News

    Canada Hosts International Conference of Banking Supervisors

    BCBS announced that OSFI and the Bank of Canada hosted the 21st International Conference of Banking Supervisors (ICBS) virtually on October 19-22, 2020.

    October 22, 2020 WebPage Regulatory News
    News

    FCA Proposes More Measures to Help Insurance Customers Amid Crisis

    FCA proposed guidance on how firms should continue to seek to help customers who hold insurance and premium finance products and may be in financial difficulty because of COVID-19, after October 31, 2020.

    October 21, 2020 WebPage Regulatory News
    News

    EBA Issues Opinion to Address Risk Stemming from Legacy Instruments

    EBA issued an opinion on prudential treatment of the legacy instruments as the grandfathering period nears an end on December 31, 2021.

    October 21, 2020 WebPage Regulatory News
    News

    ESRB Publishes Non-Bank Financial Intermediation Risk Monitor for 2020

    ESRB published the fifth issue of the EU Non-bank Financial Intermediation Risk Monitor 2020 (NBFI Monitor).

    October 21, 2020 WebPage Regulatory News
    News

    HM Treasury Publishes Policy Statement Amending Benchmarks Regulation

    HM Treasury announced that the new Financial Services Bill has been introduced in the Parliament.

    October 21, 2020 WebPage Regulatory News
    News

    APRA Initiates Action Against a Bank for Liquidity Compliance Breach

    APRA announced that it has increased the minimum liquidity requirement of Bendigo and Adelaide Bank for failing to comply with the prudential standard on liquidity.

    October 21, 2020 WebPage Regulatory News
    News

    PRA Consults on Implementation of Certain Provisions of CRD5 and CRR2

    PRA published the consultation paper CP17/20 to propose changes to certain rules, supervisory statements, and statements of policy to implement elements of the Capital Requirements Directive (CRD5).

    October 20, 2020 WebPage Regulatory News
    News

    US Agencies Finalize Rule to Reduce Impact of Large Bank Failures

    US Agencies adopted a final rule that applies to advanced approaches banking organizations and aims to reduce interconnectedness in the financial system as well as to reduce contagion risks associated with the failure of a global systemically important bank (G-SIB).

    October 20, 2020 WebPage Regulatory News
    News

    US Agencies Finalize Rule on Net Stable Funding Ratio Requirements

    US Agencies (FDIC, FED, and OCC) adopted a final rule that implements the net stable funding ratio (NSFR) for certain large banking organizations.

    October 20, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 6004