Featured Product

    ECB Issues Consolidated Version of Guide to Internal Models for Banks

    October 01, 2019

    ECB published the consolidated version of its guide to internal models for banks. The guide includes compilation of the general topics and chapters on credit, counterparty credit, and market risks. The general topics contain the overarching principles for internal models, internal model governance, internal validation, internal audit, model use, management of changes to the internal ratings-based (IRB) approach, and third-party involvement.

    The chapters on specific risk-types include the following:

    • The credit risk chapter helps to provide transparency on how ECB understands a number of topics related to internal models used for the IRB approach, including an initial section covering data maintenance for this approach. On these selected topics, the chapter is aligned with the EBA guidelines on the probability of default estimation, the loss given default estimation, and the treatment of defaulted exposures.
    • The market risk chapter helps to provide transparency on how ECB understands a number of topics related to internal models used in the calculation of own funds requirements for market risk. This chapter covers certain modeling aspects related to regulatory back-testing of value-at-risk (VaR) models, VaR, and stressed VaR methodologies and to the incremental default and migration risk charge methodology.
    • The counterparty credit risk chapter helps to provide transparency on how ECB understands a number of topics related to the principles defined for the Internal Model Method, as referred to in Part Three, Title II, Chapter 6, Section 6 of the Capital Requirements Regulation or CRR.

    Based on the current applicable EU and national law, ECB guide to internal models provides transparency on how the ECB understands the rules and how it intends to apply them when assessing whether institutions meet the requirements. The guide is also intended as a document for the internal use of the different supervisory teams, with the aim of ensuring a common and consistent approach to matters related to internal models. When applying the relevant regulatory framework in specific cases, ECB will take into due consideration the particular circumstances of the institution concerned. This guide should not be construed as going beyond the current existing applicable EU and national law and, therefore, is not intended to replace, overrule or affect the applicable EU and national laws.

     

    Related Links

    Keywords: Europe, EU, Banking, Internal Models, TRIM, Credit Risk, Market Risk, Counterparty Credit Risk, CRR, IRB Approach, Internal Model Method, ECB

    Featured Experts
    Related Articles
    News

    UK Regulators Announce Measures to Address Impact of COVID-19

    UK Regulatory Authorities published statements and guidance addressed to financial entities on dealing with the impact of the coronavirus (COVID-19) outbreak.

    March 26, 2020 WebPage Regulatory News
    News

    ISDA and Industry Request Delay in Timeline for Initial Margin Rules

    Considering the challenges posed by the COVID-19 pandemic, ISDA submitted a letter on behalf of 21 industry associations and their members requesting BCBS, IOSCO, and global regulators to suspend the current timeline for the initial margin phase-in.

    March 26, 2020 WebPage Regulatory News
    News

    FCA, FRC, and PRA Issue Joint Statement to Address Impact of COVID-19

    In response to the COVID-19 outbreak, FCA, the Financial Reporting Council (FRC), and PRA have announced a series of actions and made statements to support the continued functioning of capital markets in the UK.

    March 26, 2020 WebPage Regulatory News
    News

    EC Rule Corrects Regulation Supplementing Solvency II Directive

    EC published the EU Delegated Regulation 2020/442, which corrects the EU Delegated Regulation 2015/35 that supplements Solvency II Directive (2009/138/EC).

    March 26, 2020 WebPage Regulatory News
    News

    FED and FFIEC Offer Reporting Relief to Institutions Due to COVID-19

    FED and FFIEC announced regulatory reporting relief to financial institutions due to disruptions caused by the COVID-19.

    March 26, 2020 WebPage Regulatory News
    News

    EBA and ESMA Clarify Accounting Implications of COVID-19 Measures

    EBA and ESMA issued statements to address certain accounting implications of the economic support and relief measures adopted by EU member states in response to the COVID-19 crisis.

    March 25, 2020 WebPage Regulatory News
    News

    IOSCO and Securities Regulators Coordinate Responses to COVID-19

    IOSCO members are cooperating closely on their responses to the COVID-19-related disruption in capital markets.

    March 25, 2020 WebPage Regulatory News
    News

    US Agencies Issue Interim MMLF Rule, FED Updates FR Y-14 Forms

    In an effort to mitigate the impact of economic disruptions due to the COVID-19 outbreak, Money Market Mutual Fund Liquidity Facility (MMLF) was launched in the US to enhance the liquidity and functioning of money markets and to support the economy.

    March 25, 2020 WebPage Regulatory News
    News

    ESRB Updates List of Countercyclical Capital Buffers in March 2020

    ESRB updated the list of countercyclical capital buffer (CCyB) rates applicable in countries in the Eurosystem.

    March 24, 2020 WebPage Regulatory News
    News

    FHFA Amends Stress Testing Rule for Regulated Entities

    FHFA adopted a final rule that amends the stress testing rule, in line with section 401 of the Economic Growth, Regulatory Relief, and Consumer Protection (EGRRCP) Act.

    March 24, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 4890