The MCRCS is an annual Europe-wide comparative study on the modelling of market and credit risk. Its main objective 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. In this edition, the study will include a specific focus on interest rate risk modelling.
Undertakings using an internal model covering market risk and holding material exposure to Euro-denominated investments are expected to take part in the study. If needed, undertakings are invited to liaise with their National Supervisor for confirmation.
Participants are requested to follow the instructions for filling out the data request, using the provided answer templates and submit the relevant documentation to their National Supervisory Authorities by 31 May 2020.
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