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EIOPA publishes the first study on the modelling of market and credit risk
22/05/2018 12:00

Today, the European Insurance and Occupational Pensions Authority (EIOPA) published its first study on the Modelling of Market and Credit Risk. The results of the study show significant variations in asset model outputs, partially resulting from model specificities, which indicates the need for further supervisory actions. The study is a first step in an ongoing process of monitoring and comparing internal market and credit risk models.

The study is available here.