Consultation Paper on the draft proposal for ... - Eiopa - Europa

group, including:
a) Identification of the risk(s);
b) Probability of risks materialising into losses;
c) Mitigation actions;
d) Analysis and quantification of the risk concentrations along
legal entity lines;
e) Consistency with the group’s business model, risk appetite and
strategy, including compliance with the limits set by the internal
control systems and risk management processes of the group;
f) Whether losses arising from the risk concentrations affect not
just the overall profitability of the group but also its short-term
liquidity;
g) Relationship, correlation and interaction between risk factors
across the group, and any potential spill over effects from risk
concentrations in a particular area;
h) Specific information about the group counterparty and the
exposure (nature/country of exposure, rating/rating agency, ID
code and sector of issuer);
i) Quantitative information about the risk concentration and the
effect on the undertaking and the group and the effect of
reinsurance contracts; and
j) Whether the item concerned is on the asset side or liability side
or if it is an off-balance sheet item.
4.88. The information regarding the possibility of risks materialising into losses
is expected to be captured by stress testing and scenario analysis.
Title IV: Valuation for Solvency Purposes
Guideline 39 Assets
Where related undertakings have been valued with other methods than
by using quoted market prices in active markets or the adjusted equity
method, undertakings should explain why the use of these methods are
not possible or practical.
4.89. Undertakings are expected to be able to exercise sufficient control over
subsidiaries to allow them to obtain the information necessary to apply
the adjusted equity method. Therefore, if neither market price nor
adjusted equity method have been used in the valuation of any
subsidiary, then the undertaking explains (if it has not already been
covered in the SFCR) why not.
42/51
© EIOPA 2011