Market and Credit Risk Comparative Study YE2017

​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.  

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 30 June 2018.

Report

​Publication DateDocument
18 March 2019

Timeline ​

​Date ​Activity

​30 June 2018

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

​31 July 2018

Deadline for national supervisory authorities to report to EIOPA

Technical specifications​

​Publication dateDocument
​12 Feb 2018 ​Instructions
​12 Feb 2018 ​List of financial instruments and benchmark portfolios
​12 Feb 2018 Response template for Part 1
​12 Feb 2018 Response template for Part 2a
​12 Feb 2018 Response template for Part 2b
​12 Feb 2018Response template for Part 2c
​12 Feb 2018 Response template for Part 3
​12 Feb 2018 Response template for Part 4