Reports and research

Financial stability

Financial Stability Report June 2018

Financial stability

Potential drivers of insurers’ equity investments

As a consequence of the ongoing low-yield environment, insurers are changing their business models and looking for new investment opportunities to deliver the required return. This paper focuses on investments in equities and main drivers of their changes in insurers’ portfolios. In this respect,...
Oversight

YE2015 Market and Credit Risk Comparative Study

Innovation

Joint Committee Final Report on Big Data

The report on Big Data analysis the impact of big data on consumers and financial firms. Overall, the ESAs have found that while the development of Big Data poses some potential risks to financial services consumers, the benefits of this innovation currently outweigh these. Many of the risks...
Innovation

Use of big data by financial institutions

The factsheet on Big Data aims at informing consumers of financial services about the impact of Big Data. The factsheet provides consumers with the information about the potential benefits and risks of the use of Big Data techniques and aims to raise awareness of the measures consumers can take if...
EU - US relations

EU-US Insurance Dialogue Project: New initiatives for 2017 - 2019

Financial stability

Financial Stability Report December 2017

Financial stability

Macroeconomic fundamentals and latent factor of the EU yield curve

Since the portfolio of the insurers consists largely of bonds, out of which a significant weight consists of Government bonds, insurers are mainly exposed to interest rate risk and sovereign risk. We are motivated to contribute to the debate around the effect of the low yield environment and the...
Financial stability

Investment behaviour report

Financial stability

Financial Stability Report June 2017

Financial stability

Re-evaluation of the capital charge in insurance after a large shock

Motivated by the recent introduction of regulatory stress tests in the Solvency II framework, we study the impact of the re-estimation of the tail risk and of loss absorbing capacities on post-stress solvency ratios. Our contribution is threefold. First, we build the first stylised model for re-...
Financial stability

Financial Stability Report December 2016

Financial stability

The Impact of the Monetary Policy Interventions on the Insurance Industry

This paper investigates the effect of the conventional and unconventional (e.g. Quantitative Easing) monetary policy intervention on the insurance industry. We first analyse the impact on the stock performances of 166 (re)insurers of the last Quantitative Easing programme launched by the ECB by...
Financial stability

Updating the Long Term Rate in Time: A Possible Approach

This study proposes the potential methodological approach to be utilized by regulators when setting up a Long-Term Rate (LTR) for the evaluation of insurers’ liabilities beyond the last liquid point observable in the market. Our approach is based on the optimization of two contradictory aspects –...
Supervision | IORP | IORP II

Peer review of the statement of investment policy principles for IORPs

Solvency II | Supervision | Colleges of Supervisors

Peer Review on the NCAs’ governance of colleges

Financial stability

Financial Stability Report June 2016

Financial stability

Impact of Mergers and Acquisitions on European Insurers: Evidence from Equity Markets

Under the current low yield environment insurers are changing their business models and looking for new investment and business opportunities. This is also reflected in an increasing interest in mergers and acquisitions to achieve sufficient returns. However, there is no clear answer in the...