EIOPA Year-End 2024 Comparative Study on Market and Credit Risk Modelling
EIOPA published results of its year-end 2024 comparative study on the modelling of market and credit risk in internal models, based on data from 22 participants in 7 Member States covering approximately 100% of EUR investments held by undertakings with approved internal models in the EEA. The study found moderate to significant dispersion in some asset model outputs attributable to model and business specificities.
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