Market and Credit risk contribute significantly to the solvency
capital requirement (SCR) of insurers and their
internal models used to calculate SCR. On 22 May, EIOPA
published a report summarising its findings from a European wide
comparative study undertaken in 2016/2017 of market and credit risk
in internal models based on year-end development tools with the aim
of fostering common supervisory practices.
EIOPA's key finding was that there were significant
variations in asset model outputs, but that more detailed scrutiny
of asset types was required to explore the underlying causes.
According to EIOPA the report is the first step in an ongoing
process of monitoring and comparing internal market and credit risk
models. It also intends to perform regular studies on the market
and credit risk modelling in internal models starting from year-end
2017. The year-end 2017 version of the study will focus on risk
charges for benchmark portfolios under the combined market
