On 22 May 2018, EIOPA published an EU-wide comparative study on how insurance undertakings model market and credit risk. Given that market and credit risk is similar for most undertakings, EIOPA expects a higher level of convergence in terms of how they are modelled compared to other types of risks. It is, however, acknowledged that there are a variety of appropriate modelling approaches and that this is, to some extent, beneficial in helping to mitigate herding behaviour. The study is a first step towards developing a European supervisory tool for market and credit risk modelling in order to support and foster supervisory convergence in this area.