EIOPA’s year-end 2024 study on market and credit risk confirms the need for continued supervisory attention over dispersion identified

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 2024 data.

The study focuses on euro-denominated (EUR) instruments while also analysing selected instruments denominated in British pounds (GBP) and US dollars (USD) as well as the corresponding foreign exchange rate indices. The 22 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 European Economic Area (EEA).

The overall results show moderate to significant dispersion in some asset model outputs. This dispersion is partly attributable to certain model and business specificities that supervisors are conscious of. The findings underscore the need for continued supervisory attention, including at the European level.

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