4. Calculation of the market risk module Solvency II — Directive 2009/138/EC of the European Parliament and of the…

4. Calculation of the market risk module

Solvency II

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) · European Union

Structure of the market risk module The market risk module, set out in Article 105(5) shall be equal to the following: SCR_(market) = Σ_(i,j)Corr_(i,j) × SCR_(i) × 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,

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.