Guidelines on criteria for the use of data inputs in the expected shortfall risk measure under the IMA

Under development

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 and overall consistent in its use in the ES risk measure.



Consultation Papers