12 August 2020
The European Banking Authority (EBA) launched today a consultation on draft Guidelines on criteria for the use of data inputs in the risk-measurement model referred to in Article 325bc under the Internal Model Approach (IMA) for market risk. These Guidelines are part of the deliverables included in the roadmap for the new market and counterparty credit risk approaches published on 27 June 2019. The consultation runs until 12 November 2020.
Institutions using the IMA to compute own funds requirements for market risk are required to compute the expected shortfall (ES) risk measure for those risk factors for which a sufficient amount of verifiable prices is available (modellable risk factors). The Guidelines clarify the conditions to be met by the data related to modellable risk factors, which institutions should use in their ES calculations.
In particular, these Guidelines clarify that the data used to compute the ES risk measure should be (i) accurate, (ii) appropriate, (iii) frequently updated, and (iv) complete and overall consistent in its use in the ES risk measure.
Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 12 November 2020. All contributions received will be published following the end of the consultation, unless requested otherwise.
A public hearing will take place via conference call on 5 October 2020 from 15.30 to 17.30 CET. The dial in details will be communicated in due course.
These Guidelines have been developed according to Article 325bh(3) of Regulation (EU) No 575/2013 (CRR), which mandates the EBA to “issue guidelines specifying criteria for the use of data inputs in the risk-measurement model referred to in Article 325bc”.