Final Report on draft RTS on PD and LGD under the internal default risk model.pdf
Final Report on draft RTS on PD and LGD under the internal default risk model
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EBA publishes final draft technical standards on default probabilities and loss given default for default risk model under the internal approach for market risk
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on probabilities of default (PDs) and losses given default (LGDs) for default risk model for institutions using the new Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB). These final draft RTS specify the requirements for estimating PDs and LGDs using an institution's internal methodology or external sources. These draft RTS are part of the deliverables included in the roadmap for the new market and counterparty credit risk approaches.
Article 382
ScopeArticle 352
Calculation of the overall net foreign exchange positionArticle 325ay
Vega and curvature risk correlationsArticle 325a
Conditions for using the simplified standardised approachArticle 78
Supervisory permission to reduce own fundsEBA Report on the 2021 Market Risk Benchmarking Exercise.pdf
Report on the 2021 Market Risk Benchmarking Exercise
Final draft RTS on emerging markets and advanced economies for equity risk.pdf
Final draft RTS on emerging markets and advanced economies for equity risk
EBA publishes technical standards listing advanced economy countries for market risk own funds requirements
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on the list of countries with an advanced economy for calculating the equity risk under the alternative standardised approach (FRTB-SA). These RTS are part of the phase 3 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches.
EBA publishes final draft technical standards on the alternative standardised approach for market risk as part of its FRTB roadmap
The European Banking Authority (EBA) publishes today its final draft Regulatory Technical Standards (RTS) on gross jump-to-default (JTD) amounts and on residual risk add-on (RRAO). These final draft RTS provide technical specifications for the implementation of these two elements of the alternative standardised approach for market risk. The draft RTS are part of the phase 3 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches.
EBA-RTS-2021-09 (Final draft RTS on gross JTD amounts).pdf
Final draft RTS on gross jump-to-default amounts
Final Report on draft RTS on RRAO.pdf
Final Report on draft RTS on residual risk add-on
Guidelines on use of data inputs in the IMA.pdf
Final Report on Guidelines on criteria for the use of data inputs in the risk-measurement model
EBA publishes final Guidelines for the use of data inputs in the expected shortfall risk measure under the Internal Model Approach
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.
Consultation on draft RTS on emerging markets and advanced economies
Consultation on draft RTS on gross jump-to-default (JTD) amounts
Consultation on draft RTS on residual risk add-on
CP on draft RTS on Advanced economies for equity risk.pdf
Consultation paper on draft RTS on Advanced economies for equity risk
EBA consults on the list of advanced economies to determine equity risk under the new market risk regime
The European Banking Authority (EBA) launched today a public consultation on its draft Regulatory Technical Standards (RTS) on the list of countries with an advanced economy for calculating the equity risk under the alternative standardised approach (FRTB-SA). These RTS are part of the phase 3 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches. The consultation runs until 2 July 2021.