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European Insurance and Occupational Pensions Authority

Market and Credit Risk Comparative Study YE2020

EIOPA performs an annual Europe-wide comparative study on the modelling of market and credit risk. The objective of the study is to compare risk charges for a selection of asset portfolios to be used as a tool for the supervisory review of internal models. Additionally, the study aims to highlight the causes of potential differences between internal models by analysing risk charges for individual asset classes such as fixed income or equity. In this edition, EIOPA will develop further the analysis on dependency.

National supervisory authorities will inform the undertakings expected to take part in the study. 

Insurance undertakings are requested to follow the instructions for filling out the data request and submit the relevant documentation to the respective national supervisory authorities by 31st May 2021.

Timeline:

  • 31 May 2021: ¬†Deadline for insurance undertakings to submit results to their national supervisory authorities
  • 30 June 2021: ¬†Deadline for national supervisory authorities to report to EIOPA

Related resources

31 JANUARY 2023
Results from the 2020 study on the modelling of market and credit risk in internal models
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