EIOPA: Results from yearly study on the modelling of market and credit risk
09 Apr 2021
International
1 min read
EIOPA has published the results from its yearly study on the modelling of market and credit risk (MCRCS). This study is based on simplified asset-liability-portfolios and also focusses on the analysis of interest rate ‘down’ movements, comparison of model results to historical market experience, and preliminary analyses on dependency structures.
