March 28, 2018

ECB is consulting on the first chapter of the guide to internal models for the banks it directly supervises. The consultation on the first chapter of the guide ends on May 28, 2018 while ECB plans to consult on additional chapters of guide at later stage. ECB also published a list of frequently asked questions related to the draft guide to internal models.

The first chapter of the guide covers general topics. It contains principles for non-model-specific topics, particularly the internal ratings-based (IRB) approach, including overarching principles for internal models, implementation of the IRB approach, internal model governance, internal validation, internal audit, model use, model change management, and third-party involvement. ECB plans to make this document available in other languages on April 18, 2018. The complete guide will also include model-specific chapters for credit, market, and counterparty credit risks. 

The guide was drafted in close cooperation with the national competent authorities and draws on the experience gained in the context of the targeted review of internal models (TRIM) project. A preliminary version of the guide was made available on February 28, 2017 and has been refined on the basis of the feedback received from institutions. This revised version also takes into account the outcomes of the reviews and horizontal analyses on general topics performed as part of the TRIM project. The guide is intended to ensure a common and consistent approach to the most relevant aspects of the applicable regulation on internal models for banks directly supervised by the ECB.

 

Related Link: Consultation on Guide to Internal Models

Comment Due Date: May 28, 2018

Keywords: Europe, EU, Banking, Internal Models, IRB Approach, TRIM, ECB