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.
- 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.
- 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.
||Bank; IA; Ins; Inv Co; Pension
||PR 1/13/2020; SLV2 Reg 2015/35, Dir 2009/138
||Compliance; Financial; Legal; Operations; Reporting; Research; Risk; Treasury
||Banking; Corporate; Fund Mgt; Insurance; Insurance-Casualty; Insurance-Health; Insurance-Life; Insurance-Property; Pensions
|Reg. Last Update
Last substantive update on 01/14/2020