YE2019 comparative study on market and credit risk modelling

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      <subfield code="a">Luxembourg</subfield>
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      <subfield code="a">Market and credit risk contribute significantly to the solvency capital requirement (SCR) of insurance undertakings 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 </subfield>
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