Featured Product

    EIOPA Report Studies Modeling of Market and Credit Risks by Insurers

    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

    Featured Experts
    Related Articles
    News

    MAS Concludes Blockchain Payments Prototype Shows Commercial Potential

    MAS and Temasek jointly released a report to mark the successful conclusion of the fifth and final phase of Project Ubin, which focused on building a blockchain-based multi-currency payments network prototype.

    July 13, 2020 WebPage Regulatory News
    News

    EBA Publishes Phase 2 of Technical Package on Reporting Framework 2.10

    EBA published phase 2 of the technical package on the reporting framework 2.10, providing the technical tools and specifications for implementation of EBA reporting requirements.

    July 10, 2020 WebPage Regulatory News
    News

    APRA Updates Reporting Validation Rules in July 2020

    APRA updated the lists of the Direct to APRA (D2A) validation rules for authorized deposit-taking institutions, insurers, and superannuation entities.

    July 10, 2020 WebPage Regulatory News
    News

    PRA to Partly Apply EBA Guidelines on Disclosures for COVID Measures

    PRA updated the statement that provides guidance to regulated firms on implementation of the EBA guidelines on reporting and disclosure of exposures subject to measures applied in response to the COVID-19 crisis.

    July 10, 2020 WebPage Regulatory News
    News

    EBA Updates List of Correlated Currencies Under CRR

    EBA updated the 2019 list of closely correlated currencies that was originally published in December 2013.

    July 10, 2020 WebPage Regulatory News
    News

    FASB Proposes to Delay Implementation of Insurance Contracts Standard

    FASB issued a proposed Accounting Standards Update that would grant insurance companies, adversely affected by the COVID-19 pandemic, an additional year to implement the Accounting Standards Update No. 2018-12 on targeted improvements to accounting for long-duration insurance contracts, or LDTI (Topic 944).

    July 09, 2020 WebPage Regulatory News
    News

    APRA Updates Regulatory Approach to Loan Deferrals Amid COVID Crisis

    APRA updated the regulatory approach for loans subject to repayment deferrals amid the COVID-19 crisis.

    July 09, 2020 WebPage Regulatory News
    News

    BCBS and FSB Set Out Recommendations for Benchmark Transition

    BCBS and FSB published a report on supervisory issues associated with benchmark transition.

    July 09, 2020 WebPage Regulatory News
    News

    IAIS Sets Out Recommendations for Benchmark Transition for Insurers

    IAIS published a report on supervisory issues associated with benchmark transition from an insurance perspective.

    July 09, 2020 WebPage Regulatory News
    News

    ESMA Updates Reporting Manual on European Single Electronic Format

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

    July 09, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5469