Featured Product

    ECB Provides an Interim Update on Targeted Review of Internal Models

    April 03, 2019

    ECB issued a letter on an interim update on the Targeted Review of Internal Models (TRIM). The note enclosed in the letter provides an overview of the TRIM project and shares aggregated information on its outcomes. The note complements the analysis on credit risk internal models, presents key findings related to the data quality review, and reports the most common or critical shortcomings identified during TRIM investigations on internal models for market risk.

    The note contains background information on the objectives and timeline of TRIM and provides a high-level summary of the main achievements of TRIM. The note also provides a more detailed overview of the key insights that have emerged so far from the horizontal analyses conducted within TRIM. Finally, it summarizes the next steps within the project, along with the implications for internal model supervision beyond TRIM. The note highlights that, during 2019, the TRIM project will approach finalization.

    • First of all, ECB guide to internal models is being revised to take into account the feedback received during the public consultation process for credit, market, and counterparty credit risk. The consolidated version of the guide is expected to be published in the first half of 2019.
    • Additionally, TRIM on-site investigations will continue throughout the year. They are planned to be completed in the second half of 2019, with the finalization of the investigations on models for low-default portfolios.
    • Finally, looking forward after the end of TRIM, the outcomes of the project will continue to play a key role in improving the standards and quality of significant institutions’ Pillar 1 internal models and the related environment for using and maintaining them.

    The note subsumes and complements the information already shared with the institutions within the scope of the project on June 11, 2018. Going forward, the note may be updated and expanded as necessary to reflect additional analyses conducted in the meantime.

     

    Related Link: ECB Letter (PDF)

     

    Keywords: Europe, EU, Banking, Internal Models, TRIM, Credit Risk, Market Risk, Counterparty Credit Risk, ECB

    Featured Experts
    Related Articles
    News

    APRA Revises Standard on Margin Rules for Uncleared Derivatives

    APRA revised CPS 226, which is the prudential standard on margin and risk mitigation requirements for non-centrally cleared derivatives.

    September 19, 2019 WebPage Regulatory News
    News

    SEC Adopts Rules and Amendments Under Regulatory Regime for Swaps

    SEC announced that it took a significant step toward establishing the regulatory regime for security-based swap dealers (SBSDs) by adopting a package of rules and rule amendments under Title VII of the Dodd-Frank Act.

    September 19, 2019 WebPage Regulatory News
    News

    PRA Issues Consultation on Prudent Person Principle Under Solvency II

    PRA, via the consultation paper CP22/19, has set out its proposed expectations for investment by firms, in accordance with the Prudent Person Principle (PPP).

    September 18, 2019 WebPage Regulatory News
    News

    PRA Proposal on Probability of Default and LGD Estimation

    PRA proposed, via the consultation paper CP21/19, an approach to implementing EBA’s recent regulatory products relating to Probability of Default (PD) estimation, Loss Given Default (LGD) estimation, and the treatment of defaulted exposures in the internal ratings-based (IRB) approach to credit risk.

    September 18, 2019 WebPage Regulatory News
    News

    BIS Formalizes Agreement to Set Up Innovation Hub in Hong Kong SAR

    BIS and HKMA signed the Operational Agreement on the BIS Innovation Hub Center in Hong Kong Special Administrative Region (SAR).

    September 18, 2019 WebPage Regulatory News
    News

    APRA Observations from Thematic Review on Recovery Plans of Insurers

    APRA issued a letter to general insurers and life insurers, outlining observations from a recent thematic review on recovery planning by insurers.

    September 18, 2019 WebPage Regulatory News
    News

    BNM Publishes Financial Stability Review for the First Half of 2019

    BNM published Financial Stability Review for the first half of 2019.

    September 18, 2019 WebPage Regulatory News
    News

    CFTC Extends Comment Period for Proposals on Cross-Border Clearing

    CFTC announced that it is extending, until November 18, 2019, the comment period for the proposal for an alternative compliance framework for derivatives clearing organizations (DCOs) that are organized outside of U.S. and that do not pose substantial risk to the U.S. financial system.

    September 18, 2019 WebPage Regulatory News
    News

    FASB Issues Summary of Tentative Board Decisions at September Meeting

    FASB published a summary of the tentative decisions taken at its Board meeting in September 2019.

    September 18, 2019 WebPage Regulatory News
    News

    EIOPA Forms Consultative Expert Group on Digital Ethics in Insurance

    EIOPA established the Consultative Expert Group on Digital Ethics in Insurance to assist EIOPA in the development of digital responsibility principles in insurance.

    September 17, 2019 WebPage Regulatory News
    RESULTS 1 - 10 OF 3848