Since 2011, the CNB has been regularly conducting joint stress tests with selected insurance companies regulated by the CNB (supervisory tests). At present, the supervisory tests are conducted once every two years. The tests assess the effects of one-off changes in risk parameters on the value of insurance company’s assets and liabilities according to Solvency II valuation, and hence on its solvency position. On the asset side, the impact of equity risk, interest rate risk, real estate risk, exchange rate risk, credit spread risk and the risk of a fall in government bond prices is tested. As regards non-life insurance risks, the test covers the risk of a fall in premiums and catastrophic flood damage risk. The stress test also includes the shock of immediate cancellation of an insurance company’s life insurance portfolio. The results of the tests are published in a separate report in the second half of the year in which the supervisory test is conducted (they were published in the Financial Stability Report until 2015).
The CNB has been conducting yearly macro-stress tests of insurance companies since 2019. These tests differ from the supervisory tests in terms of their dynamics, as they consider the dynamic impact of the scenarios over twelve quarters. Moreover, the scope of the risks tested has been extended to include liquidity risk. The macro-stress tests mainly use data available to the CNB from regular reporting by insurance companies. The results of the macro-stress test are published in the Financial Stability Report.
Current stress testing methodology
- Macro-stress tests of insurance companies (pdf, 184 kB)
- Joint stress testing by the CNB and selected insurance companies (pdf, 123 kB)
Results of macro-stress tests of insurance companies
- 06/2021: Financial stability report 2020/2021
Results of joint stress testing by the CNB and selected insurance companies
- 10/2021: Report with results (pdf, 278 kB), underlying data (xlsx, 72 kB)
- 12/2019: Report with results (pdf, 78 kB), underlying data (xlsx, 107 kB)
- 12/2018: Report with results (pdf, 73 kB), underlying data (xlsx, 98 kB)
- 11/2017: Report with results (pdf, 70 kB), underlying data (xlsx, 64 kB)
- 12/2016: Report with results (pdf, 114 kB), underlying data (xls, 80 kB)