Market and Credit Risk Comparative Study YE2018

EIOPA performs an annual Europe-wide comparative study on the modelling of market and credit risk. The objective of the study is to compare risk charges for a selection of asset portfolios to be used as a tool for the supervisory review of internal models. Additionally, the study aims to highlight the causes of potential differences between internal models by analysing risk charges for individual asset classes such as fixed income or equity.  

National supervisory authorities will inform the undertakings expected to take part in the study. 

Insurance undertakings are requested to follow the instructions for filling out the data request and submit the relevant documentation to the respective national supervisory authorities by 31 May 2019.

 

Report

​Publication DateDocument
​​[TBC]

Timeline ​

​Date ​Activity

​31 May 2019

Deadline for insurance undertakings to submit results to their national supervisory authorities

​30 June 2019

Deadline for national supervisory authorities to report to EIOPA

Technical specifications​

​Publication dateDocument
​14 January 2019 Instructions
​25 January 2019 List of financial instruments and benchmark portfolios
14 January 2019 Response template for Part 1
​14 January 2019 ​Response template for Part 2a
​14 January 2019 Response template for Part 2b
​14 January 2019 Response template for Part 2c
​14 January 2019 Response template for Part 3
​14 January 2019 Response template for Part 4