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

    EBA Clarifies Use of COVID-19-Impacted Data for IRB Credit Risk Models

    The European Banking Authority (EBA) published four draft principles to support supervisory efforts in assessing the representativeness of COVID-19-impacted data for banks using the internal ratings based (IRB) credit risk models.

    June 21, 2022 WebPage Regulatory News

    BIS Hub Updates Work Program for 2022, Announces New Projects

    The Bank for International Settlements (BIS) Innovation Hub updated its work program, announcing a set of projects across various centers.

    June 17, 2022 WebPage Regulatory News

    US Senate Members Seek Details on SEC Proposed Climate Disclosure Rule

    Certain members of the U.S. Senate Committee on Banking, Housing, and Urban Affairs issued a letter to the Securities and Exchange Commission (SEC)

    June 16, 2022 WebPage Regulatory News

    EIOPA Consults on Review of Securitization Framework in Solvency II

    The European Insurance and Occupational Pensions Authority (EIOPA) published a consultation paper on the advice on the review of the securitization prudential framework in Solvency II.

    June 16, 2022 WebPage Regulatory News

    UK Authorities Issue Regulatory and Reporting Updates for Banks

    The Prudential Regulation Authority (PRA) issued a statement on PRA buffer adjustment while the Bank of England (BoE) published a notice on the statistical reporting requirements for banks.

    June 15, 2022 WebPage Regulatory News

    BaFin Consults on Resolvability Requirements for Resolution Planning

    The Federal Financial Supervisory Authority of Germany (BaFin) proposed to amend the “Capital Investment Conduct And Organization Ordinance” and issued a draft circular on the minimum resolvability requirements for resolution planning.

    June 10, 2022 WebPage Regulatory News

    EBA Consults on Certain Standards and Guidelines Under CRR and BRRD

    The European Banking Authority (EBA) proposed guidelines, for the resolution authorities, on the publication of the write-down and conversion and bail-in exchange mechanic, with the comment period ending on September 07, 2022.

    June 08, 2022 WebPage Regulatory News

    OJK Publishes Regulatory Updates for Financial Sector Entities

    The Financial Services Authority of Indonesia (OJK) is strengthening cooperation with the Australian Prudential Regulation Authority (APRA) and the Japanese Financial Services Agency (JFSA)

    June 03, 2022 WebPage Regulatory News

    EU Publishes Rules on DLT and Data Governance

    The European Parliament and the Council published Regulation 2022/868 on European data governance (Data Governance Act).

    June 03, 2022 WebPage Regulatory News

    EBA Publishes Phase 2 of Reporting Framework 3.2

    The European Banking Authority (EBA) published phase 2 of its reporting framework 3.2. The technical package supports the implementation of the updated reporting framework by providing standard specifications

    June 03, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8267