Final and translated into the EU official languages
These Guidelines clarify the conditions to be met by the data related to modellable risk factors, which institutions should use in their expected shortfall (ES) calculations. The Guidelines clarify that the data used to compute the ES risk measure should be (i) accurate, (ii) appropriate, (iii) frequently updated, and (iv) complete.
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”.
The European Banking Authority (EBA) published today its final Guidelines clarifying the requirements that the data inputs used to determine the scenarios of future shocks applied to modellable risk factors should meet. The Guidelines, which are part of the deliverables included in the roadmap for the new market and counterparty credit risk approaches, will be applicable from 1 January 2022.
Institutions using the alternative Internal Model Approach (IMA) for market risk are required to compute the expected shortfall (ES) risk measure for their modellable risk factors, i.e. for those risk factors for which a sufficient amount of verifiable prices is available. These Guidelines clarify the conditions that the data inputs related to modellable risk factors should meet for their use in the ES calculations.
In particular, the final Guidelines set out criteria in relation to the accuracy, appropriateness, frequency for updating and completeness of the data inputs used by institutions for their modellable risk factors. These criteria aim at ensuring that data inputs are calibrated to historical data reflective of prices observed or quoted in the market, that they capture, where relevant, both general and specific risks, that their update is performed frequently enough and whenever changes in market conditions so require, and that any missing or inconsistent values in those data inputs are properly replaced.
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.
In August 2020, the EBA published a Consultation Paper on which these Guidelines are based. During the consultation period, the EBA received feedback from stakeholders, which led to amendments being introduced to clarify some specific provisions.
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”.