EIOPA Market and Credit Risk Study

On Jan. 13, EIOPA issued specifications for market, credit risk study.

  • Technical specifications for market, credit risk comparative study YE2019 published.
  • Follows EIOPA May 2018 issued first study on modelling of market risk, see #44132.
  • Follows EIOPA Feb. 2018 issued decision on annual risk modelling study, see #40398.
  • Overview
  • EIOPA published instructions and technical specifications for MCRCS YE2019, annual EU-wide comparative study on modelling of market and credit risk.
  • Main objective is to compare risk charges for selection of asset portfolios to be used as tool for supervisory review of internal models.
  • Additionally, study aims to highlight causes of potential differences between internal models by analyzing risk charges for individual asset classes e.g. fixed income/equity.
  • In this edition, study will include specific focus on interest rate risk modelling.
  • Undertakings using internal model covering market risk, holding material exposure to Euro-denominated investments expected to take part in the study.
  • If needed, undertakings invited to liaise with their NCAs for confirmation.
  • Effectiveness
  • Participants requested to follow instructions for filling out data request, using provided answer templates and submit relevant documentation to their NCAs by May 31, 2020.

Regulators EU EIOPA
Entity Types Bank; IA; Ins; Inv Co; Pension
Reference PR 1/13/2020; SLV2 Reg 2015/35, Dir 2009/138
Functions Compliance; Financial; Legal; Operations; Reporting; Research; Risk; Treasury
Countries European Union
Products Banking; Corporate; Fund Mgt; Insurance; Insurance-Casualty; Insurance-Health; Insurance-Life; Insurance-Property; Pensions
Regions EMEA
Rule Type Guidance
Rule Date 1/13/2020
Effective Date 5/31/2020
Rule Id 70232
Linked to Rule :44132
Reg. Last Update 1/13/2020
Report Section EU

Last substantive update on 01/14/2020