YE2020 comparative study on market and credit risk modelling

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      <subfield code="a">Luxembourg</subfield>
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      <subfield code="a">44 p.</subfield>
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      <subfield code="a">Market and credit risk contribute significantly to the solvency capital requirement (SCR) of insurance undertakings1 and are also of material importance for the majority of internal model undertakings. Consequently, the EIOPA Board of Supervisors at the beginning of 2018 decided to perform annual European-wide comparative studies on the modelling of market and credit risks, to be run by a joint project group of National Competent Authorities (NCAs) and EIOPA. Undertakings with a significant exposure to assets denominated in Euro and an approved internal model covering market and credit risk shall take part in this annual study.  The objective is to ensure a consistent and regular collection of information in order to carry out such comparative studies on internal model outputs efficiently, and have an up-to-date overview of the modelling approaches, as well as to further develop supervisory tools and foster common supervisory practices, in complement to national supervision, and as foreseen in the Solvency II Directive. This report summarises the key findings from the market and credit risk comparative study (MCRCS) undertaken in 2021 based on year-end 2020 data and provides an insight into the supervisory initiatives being taken following the conclusions of this study.</subfield>
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      <subfield code="a">Modelos de estados financieros</subfield>
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