EIOPA Year-End 2024 Comparative Study on Market and Credit Risk Modelling
Summary
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.
What changed
EIOPA published results of its year-end 2024 comparative study examining the modelling of market and credit risk in internal models used by insurers across the EEA. The study covered 22 participants from 7 Member States representing approximately 100% of EUR-denominated investments held by undertakings with approved internal models. Key findings include moderate to significant dispersion in some asset model outputs, partly attributed to model and business specificities.
Affected insurers using internal models for market and credit risk calculations should note that EIOPA identified dispersion that warrants continued supervisory attention, including at the European level. While the study does not impose new obligations, it signals that supervisors will continue focusing on internal model consistency and reliability, which may influence future supervisory expectations and reviews of internal model approvals.
Archived snapshot
Apr 17, 2026GovPing captured this document from the original source. If the source has since changed or been removed, this is the text as it existed at that time.
The European Insurance and Occupational Pensions Authority (EIOPA) published today the results of its comparative study on the modelling of market and credit risk in internal models based on year-end 2024 data.
The study focuses on euro-denominated (EUR) instruments while also analysing selected instruments denominated in British pounds (GBP) and US dollars (USD) as well as the corresponding foreign exchange rate indices. The 22 participants from 7 different Member States cover close to 100% of the EUR investments held by all undertakings with approved internal models covering market and credit risk in the European Economic Area (EEA).
The overall results show moderate to significant dispersion in some asset model outputs. This dispersion is partly attributable to certain model and business specificities that supervisors are conscious of. The findings underscore the need for continued supervisory attention, including at the European level.
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Publication date 16 April 2026
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