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    EIOPA Issues Update on the Internal Model Consistency Projects

    October 25, 2017

    EIOPA published an update on Internal Model Consistency Projects to strengthen supervisory consistency and convergence in the EU. Recently, EIOPA has implemented three internal model consistency workstreams—namely, Market and Credit Risk Benchmarking Study, Modeling of Sovereign Exposures, and Modeling of Dynamic Volatility Adjustment. This update summarizes the work carried out on these, along with the current status and the next steps.

    The activities are part of the follow-up on the Opinion on the preparation for internal model applications, which was issued in April 2015. In this Opinion, EIOPA had recommended that the national competent authorities should conduct comparative studies on the national competent authority level and contribute to, and make use of, corresponding studies on the EU level coordinated by EIOPA. Furthermore, provision for comparative studies, where undertakings are required to run their models on relevant benchmark portfolios, is included in Article 122 of the Solvency II Directive. The EIOPA Opinion also covered the modeling of sovereign exposures and stated that EIOPA would collect data and perform a follow-up study to assess the treatment of sovereign exposures in internal models in member states.

     

    Related Link: News Release

    Keywords: Europe, EU, Insurance, Solvency II, Internal Model, Consistency Projects, EIOPA

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