Question
For Concentration risk ScR,when i calculate the amount of each counterparty, Do I have to consider 'Market Value (of assets) + Accrued Interest' or just 'market Value' (without Accrued Interest)?
So basically, do I have to stress 'accrued interest' under concentration risk?
What about interest rate risk? For government Bond, I consider the 'market price' and calculate the shocked price under UP and Down scenarios. Finally, the stressed Market value is
(stressed price/ base price)* market value + Accrued Interest
Should I stress accrued interest under Interest rate risk?
EIOPA answer
The accrued interest is part of the valuation in accordance with Article 75 of the Solvency II Directive and has consequently to be included in the calculation of the capital requirement for market risk concentration and interest rate risk.