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

Related Articles
News

US Agencies Consult on Capital Treatment of Land Development Loans

US Agencies (FDIC, FED, and OCC) issued a proposed rule on the treatment of loans that finance the development of land for purposes of the one- to four-family residential properties exclusion in the definition of high volatility commercial real estate (HVCRE) exposure in the regulatory capital rule.

July 12, 2019 WebPage Regulatory News
News

EBA Single Rulebook Q&A: Second Update for July 2019

Under the Single Rulebook question and answer (Q&A) updates for this week, EBA published answers to five questions related to supervisory reporting.

July 12, 2019 WebPage Regulatory News
News

ESMA Updates Manual for European Single Electronic Format in EU

ESMA updated the reporting manual for European Single Electronic Format (ESEF).

July 12, 2019 WebPage Regulatory News
News

FED Updates Supplemental Instructions for Reporting Form FR Y-9C

FED updated the supplemental instructions for FR Y-9C reporting.

July 12, 2019 WebPage Regulatory News
News

EBA Publishes Report on Monitoring Implementation of LCR in EU

EBA published its first report on the monitoring of the implementation of liquidity coverage ratio (LCR) in EU.

July 12, 2019 WebPage Regulatory News
News

EIOPA Consults on Reporting and Disclosures Under Solvency II Review

EIOPA launched a consultation package on supervisory reporting and public disclosure in the context of its work linked with the 2020 Solvency II review.

July 12, 2019 WebPage Regulatory News
News

APRA Applies Additional Capital Requirements to Three Australian Banks

APRA is applying additional capital requirements to three major banks in Australia to reflect higher operational risk identified in their risk governance self-assessments.

July 11, 2019 WebPage Regulatory News
News

IMF Report on 2019 Article IV Consultation on Euro Area Policies

IMF published its staff report in context of the 2019 Article IV consultation on euro area policies with member countries.

July 11, 2019 WebPage Regulatory News
News

FSB to Survey Practices on Cyber Incident Response and Recovery

FSB launched a survey on the industry practices on cyber incident response and recovery.

July 11, 2019 WebPage Regulatory News
News

ECB Appoints New Members of Supervisory Board

The Governing Council of ECB appointed Edouard Fernandez-Bollo, Kerstin af Jochnick, and Elizabeth McCaul as representatives to the Supervisory Board of ECB Banking Supervision, for a five-year non-renewable term.

July 11, 2019 WebPage Regulatory News
RESULTS 1 - 10 OF 3441