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CRR: EBA publishes final draft RTS on assessment methodology to validate market risk models

30/11/2016 Commission Européenne

CRR: EBA publishes final draft RTS on assessment methodology to validate market risk models

The European Banking Authority (EBA) has published its final draft RTS on the assessment methodology for the Internal Model Approach (IMA) for market risk under the CRR.

The draft RTS set out the criteria to be applied by competent authorities when assessing the significance of positions included in the scope of market risk internal models and the two different methodologies for general and specific risk categories, both based on the standardised rules for market risk.

They provide standards to be used by competent authorities in their assessment of institutions' compliance with IMA requirements when the institutions apply to use the IMA to determine market risk capital requirements or introduce any material changes or extensions to the IMA approach. The standards are also intended to assist in the assessment of whether institutions meet minimum IMA requirements on an ongoing basis following the regular review of the internal model.