EIOPA’s year-end 2022 study on market and credit risk modelling reveals continuing dispersion

The European Insurance and Occupational Pensions Authority (EIOPA) published today the results of its comparative study on the modelling of market and credit risk in internal models based on year-end 2022 data.

The study focuses on EUR denominated instruments while also analysing selected GBP and USD denominated instruments as well as the corresponding foreign exchange rate indices. The 20 participants from 7 different Member States cover close to 100% of the EUR investments held by all undertakings with approved internal models covering market and credit risk in the EEA.

The overall results show moderate to significant dispersion in some asset model outputs. Although this dispersion may in part be attributable to certain model and business specificities that supervisors are conscious of, it also indicates the need for continued supervisory attention, including at the European level.

Go to the Study