EBA consults on Guidelines on criteria for the use of data inputs in the expected shortfall risk measure under the Internal Model Approach
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.