Division 4: Calculation of the market risk module - Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (recast) (Text with EEA relevance)

Structure of the market risk module

The market risk module, set out in Article 105(5) shall be equal to the following:

{SCR}_{market} = \sqrt{\sum_{i,j} {Corr}_{i,j} \times {SCR}_{i} \times {SCR}_{j}}

where SCR_i denotes the sub-module i and SCR_j denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCR_i and SCR_j are replaced by the following:

SCR _{interest rate} denotes the interest rate risk sub-module,
SCR _equity denotes the equity risk sub-module,
SCR _property denotes the property risk sub-module,
SCR _spread denotes the spread risk sub-module,
SCR _{concentration} denotes the market risk concentrations sub-module,
SCR _currency denotes the currency risk sub-module,

Division 4 Calculation of the market risk module