Featured Product

    ECB Publishes First Part of the Guide to Internal Models for Banks

    November 15, 2018

    ECB published the first chapter of its guide to internal models for banks, following a public consultation. Also published was a feedback statement to the responses received on the consultation, which ended on May 28, 2018. Articles 143, 283, and 363 of the Capital Requirements Regulation (CRR) require ECB to grant permission to use internal models for credit risk, counterparty credit risk (CCR), and market risk, where the requirements set out in the corresponding chapters of the CRR are met by the institutions concerned. This guide provides transparency on the ECB’s understanding of the most relevant aspects of the applicable regulations on internal models, for the institutions it directly supervises.

    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. The consolidated version of the complete and revised ECB guide will also include model-specific chapters for credit, market, and counterparty credit risks. ECB launched a public consultation on risk-specific chapters and the consultation ran from September 07 to November 07, 2018.

    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 ECB.

     

    Related Links

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

    Related Articles
    News

    OCC Revises Minimum Threshold for Banks to Conduct Stress Tests

    OCC issued the final rule that amends its company-run stress testing requirements under the 12 CFR 46 in Code of Federal Regulations.

    October 10, 2019 WebPage Regulatory News
    News

    US Agencies Update Management Interlock Rules Under DIMIA

    US Agencies (FDIC, FED, and OCC) issued a final rule that increases the thresholds in the major assets prohibition for management interlocks for purposes of the Depository Institution Management Interlocks Act (DIMIA).

    October 10, 2019 WebPage Regulatory News
    News

    US Agencies Finalize Rules to Closely Match Bank Risk Profiles

    US Agencies (OCC, FED, and FDIC) finalized rules that tailor the regulations for domestic and foreign banks to more closely match their risk profiles.

    October 10, 2019 WebPage Regulatory News
    News

    CPMI-IOSCO and FSB on Governance Arrangements for OTC Derivatives

    CPMI and IOSCO published a report that identifies key criteria, functions, and bodies for the governance arrangements.

    October 09, 2019 WebPage Regulatory News
    News

    EIOPA Launches Field Test on Templates Under 2020 Solvency II Review

    EIOPA, as part of the 2020 Solvency II reporting and disclosure review, launched a field test on the revised and newly proposed reporting templates.

    October 09, 2019 WebPage Regulatory News
    News

    US Agencies Adopt Rule on Appraisals for Real Estate Transactions

    US Agencies (FDIC, FED, and OCC) adopted the final rule to amend regulations requiring appraisals of real estate for certain transactions

    October 08, 2019 WebPage Regulatory News
    News

    US Agencies Finalize Amendments to Simplify Volcker Rule

    US Agencies (CFTC, FDIC, FED, OCC, and SEC) finalized amendments to the regulations implementing section 13 of the Bank Holding Company Act, also known as the Volcker Rule.

    October 08, 2019 WebPage Regulatory News
    News

    EC Report Explores Application and Challenges of Blockchain Technology

    The Joint Research Center of EC published a report exploring the challenges and impact of distributed ledger technologies.

    October 08, 2019 WebPage Regulatory News
    News

    BIS and SNB Sign Agreement on Innovation Hub Center in Switzerland

    BIS and SNB signed an operational agreement on the BIS Innovation Hub Center in Switzerland.

    October 08, 2019 WebPage Regulatory News
    News

    ECB Issues Results of Sensitivity Analysis of Liquidity Risk for Banks

    ECB published results of 2019 stress test on sensitivity analysis of liquidity risk.

    October 07, 2019 WebPage Regulatory News
    RESULTS 1 - 10 OF 3958