Regulatory Technical Standards and Guidelines on estimation and identification of an economic downturn in IRB modelling
- Status: Adopted and published in the Official Journal of the EU
These draft RTS and GLs are part of the EBA’s broader work on the review of the IRB approach aimed at reducing the unjustified variability in the outcomes of internal models, while preserving the risk sensitivity of capital requirements.
Documents
- Final Report on Guidelines for the estimation of LGD appropriate for an economic downturn.pdf
- Final draft RTS on the specification of the nature, severity and duration of an economic downturn.pdf
- Public hearing presentation
- Compliance table (Updated 23 March 2021)
- Opinion on the European Commission’s amendments relating to the final draft RTS on the specification of the nature, severity and duration of an economic downturn
- EBA letter to John Berrigan, DG FISMA, on EC intended changes to the draft regulatory technical standards on the specification of the nature, severity and duration of an economic downturn
Translations for:
Links
Summary of document history
Consultation on RTS on the specification of the nature, severity and duration of an economic downturn
- Status: Closed
- Deadline: 29 MAY 2017
Documents
Consultation Paper on draft RTS on the specification of the nature, severity and duration of an economic downturn (EBA-CP-2017-02)
(507.79 KB - PDF) Last update 1 March 2017
Responses
The form is now closed.
Received responses to the EBA
- 1. BBA, BSA and CML (UK)
- 2. ASSOCIATION FRANCAISE DES SOCIETES FINANCIERES
- 3. Association for Financial Markets in Europe
- 4. European Federation of Building Societies
- 5. Austrian Federal Economic Chamber
- 6. Prometeia SPA
- 7. Dutch Banking Association (NVB)
- 8. Czech Banking Association
- 9. Leaseurope/Eurofinas
- 10. Swedish Bankers' Association
Second consultation on RTS on estimation and identification of an economic downturn in IRB modelling
- Status: Closed
- Deadline: 22 JUNE 2018
Documents
Consultation Paper on RTS on economic downturn (EBA CP 2018 07).pdf
(971.66 KB - PDF) Last update 22 May 2018
Responses
The form is now closed.
Consultation on Guidelines for the estimation of LGD appropriate for an economic downturn
- Status: Closed
- Deadline: 22 JUNE 2018
Documents
Consultation paper on guidelines for downturn LGD estimation (EBA CP 2018 08)
(1.01 MB - PDF) Last update 22 May 2018
Responses
The form is now closed.
Received responses to the EBA
- 1. UniCredit S.p.A.
- 2. European Federation of Building Societies
- 3. German Banking Industry Committee (GBIC)
- 4. Intesa Sanpaolo S.p.A.
- 5. French Banking Federation
- 6. European Savings and Retail Banking Group (ESBG)
- 7. Swedish Bankers' Association
- 8. Swedbank
- 9. Banking & Payments Federation Ireland
- 10. Institute of International Finance
Public hearings
Public hearing on RTS on economic downturn
Presentation
(1.66 MB - PDF) Last update 5 April 2017
Press contacts
Franca Rosa Congiu