Search
EBA publishes final standards on assessment methodology to validate market risk models
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) that specify the conditions under which Competent Authorities assess the significance of positions included in the scope of market risk internal models, as well as the methodology they shall apply when assessing an institution’s compliance with the requirements to use an Internal Model Approach (IMA) for market risk. These draft RTS are a key component of the EBA's work to ensure consistency in models’ outputs and comparability of risk-weighted exposures and will contribute to harmonise the supervisory assessment methodology across all EU Member States and, ultimately, to restore confidence in the use of such models for regulatory purposes.
Final draft RTS on the IMA assessment methodology & significant shares (EBA-RTS-2016-07).pdf
Final draft RTS on the IMA assessment methodology & significant shares (EBA-RTS-2016-07)
Public Hearing on Covered Bonds
EBA issues recommendations on the implementation of new counterparty and market risk frameworks
The European Banking Authority (EBA) published today a Report in response to two calls for advice to assist the European Commission in the adoption into European legislation of two new international frameworks proposed by the Basel Committee on Banking Supervision (BCBS): (i) a new standardised framework for counterparty risk (CCR), i.e. the so-called SA-CCR, and (ii) a new market risk (MKR) framework - the so-called fundamental review of the trading book (FRTB). In the Report, the EBA focuses on the envisaged impact of these two frameworks, for both large and small firms, and issues recommendations on their implementation.
EBA Letter to Olivier Guersent in response to the CfAs on revision of the own fund requirements for market risk and counterparty credit risk.pdf
EBA Letter to Olivier Guersent in response to the CfAs on revision of the own fund requirements for market risk and counterparty credit risk
Report on SA CCR and FRTB implementation (EBA-Op-2016-19).pdf
Report on SA CCR and FRTB implementation (EBA-Op-2016-19)