Skip to content

Market Risk

Calculate the Solvency Capital Requirement for Market Risk instantly.

€
€
€
€
€
€

Standalone Component Total

€83 380 828

Before correlation diversification

−

Correlation Adjustment

€26 993 441

−32.4% of standalone

Capital relief

=

Market Risk SCR

€56 387 387

After diversification

Market Risk

Waterfall chart showing module contributions, diversification, operational risk, LAC DT adjustment, and total SCR.
StepDeltaRunning
Interest Rate Risk1800000018000000
Equity Risk25380827.84359853743380827.84359854
Property Risk900000052380827.84359854
Spread Risk2200000074380827.84359854
Currency/FX Risk600000080380827.84359854
Concentration Risk300000083380827.84359854
Standalone Component Total83380827.8435985483380827.84359854
Correlation Adjustment-26993440.95358107256387386.89001747
Market Risk SCR56387386.8900174756387386.89001747
Market sub-module shares
Market sub-module sharesShare of each segment in the total.Equity30.4% · €25MSpread26.4% · €22MInterest Rate21.6% · €18MProperty10.8% · €9.0MCurrency/FX7.2% · €6.0MConcentration3.6% · €3.0M
ModuleShareAmount
Equity Risk30.4%€25M
Spread Risk26.4%€22M
Interest Rate Risk21.6%€18M
Property Risk10.8%€9.0M
Currency/FX Risk7.2%€6.0M
Concentration Risk3.6%€3.0M

Market risk correlation matrix - pre-2027, A = 0 / B = 0

1.000.000.250.500.75
Market risk correlation matrix - pre-2027, A = 0 / B = 0
IRInterest RateEQEquityPRPropertySPSpreadFXCurrencyCONCConcentration
IRInterest Rate
1.00
0.00
0.00
0.00
0.25
0.00
EQEquity
0.00
1.00
0.75
0.75
0.25
0.00
PRProperty
0.00
0.75
1.00
0.50
0.25
0.00
SPSpread
0.00
0.75
0.50
1.00
0.25
0.00
FXCurrency
0.25
0.25
0.25
0.25
1.00
0.00
CONCConcentration
0.00
0.00
0.00
0.00
0.00
1.00
1Step 1

Article 164 Correlation Formula

SCRmarket,s=∑i,jCorri,j(s)×SCRi×SCRjSCR_{market,s}=\sqrt{\sum_{i,j} Corr^{(s)}_{i,j}\times SCR_i\times SCR_j}
2Step 2

Selected A Parameter

A={0,Article 165(a) increase branch0.5,Article 165(b)/other branchA=\begin{cases}0,&\text{Article 165(a) increase branch}\\0.5,&\text{Article 165(b)/other branch}\end{cases}
3Step 3

Selected B Parameter

B={0,Article 165(a) increase branch0.5,pre-30 Jan 2027 Article 165(b)/other branch0.25,from 30 Jan 2027 Article 165(b)/other branchB=\begin{cases}0,&\text{Article 165(a) increase branch}\\0.5,&\text{pre-30 Jan 2027 Article 165(b)/other branch}\\0.25,&\text{from 30 Jan 2027 Article 165(b)/other branch}\end{cases}
4Step 4

Branch Result - Article 165(a) Increase

Market Risk SCR - A = 0=∑i,jCorri,j×SCRi×SCRj\textit{Market Risk SCR - A = 0} = \sqrt{\sum_{i,j} Corr_{i,j} \times SCR_i \times SCR_j}
5Step 5

Branch Result - Article 165(b)/Other

Market Risk SCR - Article 165(b)/Other Branch={Market Risk SCR - Pre-2027 A = 0.5 / B = 0.5if Article 164 Basis=1Market Risk SCR - 2027 A = 0.5 / B = 0.25if Article 164 Basis=2\textit{Market Risk SCR - Article 165(b)/Other Branch} = \begin{cases} \textit{Market Risk SCR - Pre-2027 A = 0.5 / B = 0.5} & \text{if } \textit{Article 164 Basis} = 1 \\ \textit{Market Risk SCR - 2027 A = 0.5 / B = 0.25} & \text{if } \textit{Article 164 Basis} = 2 \end{cases}
6Step 6

Selected Market Risk SCR

Market Risk SCR={Market Risk SCR - A = 0if Binding Interest Rate Branch=1Market Risk SCR - Article 165(b)/Other Branchif Binding Interest Rate Branch=2\textit{Market Risk SCR} = \begin{cases} \textit{Market Risk SCR - A = 0} & \text{if } \textit{Binding Interest Rate Branch} = 1 \\ \textit{Market Risk SCR - Article 165(b)/Other Branch} & \text{if } \textit{Binding Interest Rate Branch} = 2 \end{cases}
7Step 7

Correlation Adjustment

Correlation Adjustment=max⁡(0,Interest Rate Risk+Equity Risk+Property Risk+Spread Risk+Currency/FX Risk+Concentration Risk−Market Risk SCR)\textit{Correlation Adjustment} = \max(0, \textit{Interest Rate Risk} + \textit{Equity Risk} + \textit{Property Risk} + \textit{Spread Risk} + \textit{Currency/FX Risk} + \textit{Concentration Risk} - \textit{Market Risk SCR})

Understand the Market Risk

Overview

This calculator implements the diversified capital requirement for the Market Risk module within the Solvency II standard formula.[1] The Market Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from a 1-in-200 year stress event across all market risk drivers.[2]

Input Terms

  • Interest Rate Risk: The capital requirement for the change in net asset value under the more adverse of the prescribed upward and downward yield-curve stresses.[3]
  • Equity Risk: The capital requirement for the loss from the prescribed equity-market shocks across the standard-formula equity categories, including the symmetric adjustment overlay.[4][5]
  • Property Risk: The capital requirement for the change in net asset value following the prescribed property shock applied to property exposures.[6]
  • Spread Risk: The capital requirement for the loss from spread widening on bonds, structured products, and credit derivatives.[7]
  • Currency Risk: The capital requirement for the adverse movement produced by stressing foreign-currency positions against the reporting currency.[8]
  • Concentration Risk: The capital requirement for excessive exposure to a single name above the regulatory thresholds.[9]
  • Binding Interest Rate Branch: Dropdown selector for the Article 164 market correlation matrix. The Article 165(a) increase branch applies `A = 0` and `B = 0`; the Article 165(b)/other branch applies `A = 0.5`, with `B` set by the selected Article 164 basis.
  • Article 164 Basis: Explicit valuation-basis selector. The default current basis is pre-30 January 2027; the Regulation (EU) 2026/269 basis applies from 30 January 2027 and sets the Interest Rate x Spread parameter `B = 0.25` for the Article 165(b)/other branch.[10]

Technical Rationale

The Market Risk capital requirement is calibrated to a 99.5% confidence level over a one-year horizon. Under the Standard Formula, this is modeled by aggregating six sub-modules designed to capture market risks via the regulatory correlation structure.[1]

This aggregation accounts for the fact that market risks share macro-financial drivers but are not assumed to move in perfect lockstep. The correlation matrix adjusts for non-linear dependencies to ensure the final diversified result reflects the overall risk to the undertaking balance sheet.

The primary rulebook sheet calculates both Article 164 market-correlation outcomes and selects the result from the chosen binding interest-rate branch and Article 164 basis.

Important Notes

  • Correlation Scenarios: Per Article 164, the interest-rate correlations with equity, property, and spread depend on which Article 165 interest-rate branch is binding. From 30 January 2027, Regulation (EU) 2026/269 separates the Interest Rate x Spread correlation into parameter `B`, equal to `0` for the Article 165(a) increase branch and `0.25` for the Article 165(b)/other branch. The rulebook sheet exposes both selectors directly rather than auto-switching by date, so retrospective and future valuations remain auditable.[1][10]
  • Regulatory deviation: Material deviation from standard-formula assumptions at this layer may support a capital add-on or a move toward an internal model where justified.[11]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.[12]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 164 (Correlation coefficients for market risk) - EIOPA
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Delegated Regulation (EU) 2015/35 - Art. 165 (Interest rate risk: general provisions) - EIOPA
  4. Delegated Regulation (EU) 2015/35 - Art. 169 (Standard equity risk sub-module) - EIOPA
  5. Delegated Regulation (EU) 2015/35 - Art. 172 (Symmetric adjustment of the equity capital charge) - EIOPA
  6. Delegated Regulation (EU) 2015/35 - Art. 174 (Property risk sub-module) - EIOPA
  7. Delegated Regulation (EU) 2015/35 - Art. 175 (Scope of the spread risk sub-module) - EIOPA
  8. Delegated Regulation (EU) 2015/35 - Art. 188 (Currency risk sub-module) - EIOPA
  9. Delegated Regulation (EU) 2015/35 - Art. 183 (Calculation of the capital requirement for market risk concentration) - EIOPA
  10. Commission Delegated Regulation (EU) 2026/269 - Solvency II 2025 review amendments - EUR-Lex
  11. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  12. Commission Implementing Regulation (EU) 2023/894 - QRT S.25.01.01 (SCR standard formula) - EUR-Lex

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.