Featured Product

    EBA Issues Annual Assessment of Consistency of Internal Model Outcomes

    November 14, 2017

    EBA published two reports on the consistency of risk-weighted assets (RWAs) across all EU institutions authorized to use internal approaches for the calculation of capital requirements. The reports cover market risk as well as credit risk for large corporate, institutions, and sovereign portfolios—collectively referred to as low-default portfolios (LDPs). The results confirm previous findings, with the majority of risk-weights variability explained by fundamentals. These annual EBA-conducted benchmarking exercises are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restore trust in internal models.

    LDP Credit Risk Exercise. This report presents the results of a supervisory benchmarking exercise of the internal models used for LDPs across a sample of EU institutions. LDPs consist of sovereigns, institutions and large corporates, as these portfolios generally contain few defaults relative to the total number of obligors. The LDP credit risk report examines fferent drivers leading to the observed dispersion across bank models. Most results are broadly in line with the previous LDP exercises, with 61% of the difference in variability explained by a few drivers. The remaining variability could be attributed to differences in riskiness, such as idiosyncratic portfolio features, modeling assumptions, and risk-management practices used by banks, along with the supervisory practices. An analysis was performed to quantify the impact on risk-weights for banks with lower risk-weights. 

    Market Risk Exercise. This report presents the results of the 2017 supervisory benchmarking exercise pursuant to Article 78 of the Capital Requirements Directive (CRD) and the related regulatory and implementing technical standards that define the scope, procedures, and portfolios for benchmarking internal models for market risk. The aim of this exercise was to assess the level of variability observed in risk-weighted exposure amounts for market risk (MRWA) produced by banks’ internal models. 

     

    Related Links

    Keywords: Europe, Banking, Credit Risk, Market Risk, LDP, CRD, RWA, Internal Model, Benchmarking, EBA

    Related Articles
    News

    MAS Concludes Blockchain Payments Prototype Shows Commercial Potential

    MAS and Temasek jointly released a report to mark the successful conclusion of the fifth and final phase of Project Ubin, which focused on building a blockchain-based multi-currency payments network prototype.

    July 13, 2020 WebPage Regulatory News
    News

    PRA Publishes Public Working Draft of XBRL Taxonomy 1.2.0 for Insurers

    PRA published a public working draft, or PWD, of version 1.2.0 of the BoE Insurance XBRL taxonomy, along with the related technical artefacts.

    July 13, 2020 WebPage Regulatory News
    News

    CPMI Report Sets Out Building Blocks to Enhance Cross-Border Payments

    CPMI published a report that sets out nineteen building blocks for a global roadmap to improve cross-border payments.

    July 13, 2020 WebPage Regulatory News
    News

    EBA Publishes Phase 2 of Technical Package on Reporting Framework 2.10

    EBA published phase 2 of the technical package on the reporting framework 2.10, providing the technical tools and specifications for implementation of EBA reporting requirements.

    July 10, 2020 WebPage Regulatory News
    News

    APRA Updates Reporting Validation Rules in July 2020

    APRA updated the lists of the Direct to APRA (D2A) validation rules for authorized deposit-taking institutions, insurers, and superannuation entities.

    July 10, 2020 WebPage Regulatory News
    News

    PRA to Partly Apply EBA Guidelines on Disclosures for COVID Measures

    PRA updated the statement that provides guidance to regulated firms on implementation of the EBA guidelines on reporting and disclosure of exposures subject to measures applied in response to the COVID-19 crisis.

    July 10, 2020 WebPage Regulatory News
    News

    EBA Updates List of Correlated Currencies Under CRR

    EBA updated the 2019 list of closely correlated currencies that was originally published in December 2013.

    July 10, 2020 WebPage Regulatory News
    News

    ESMA Guides on Securitization Repository Data Consistency Thresholds

    ESMA published the final report on the guidelines on securitization repository data completeness and consistency thresholds.

    July 10, 2020 WebPage Regulatory News
    News

    FASB Proposes to Delay Implementation of Insurance Contracts Standard

    FASB issued a proposed Accounting Standards Update that would grant insurance companies, adversely affected by the COVID-19 pandemic, an additional year to implement the Accounting Standards Update No. 2018-12 on targeted improvements to accounting for long-duration insurance contracts, or LDTI (Topic 944).

    July 09, 2020 WebPage Regulatory News
    News

    APRA Updates Regulatory Approach to Loan Deferrals Amid COVID Crisis

    APRA updated the regulatory approach for loans subject to repayment deferrals amid the COVID-19 crisis.

    July 09, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5480