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Response to discussion Paper on the future of the IRB Approach
Go back2. What would you consider the areas of priorities?
See attached document3. Do you consider the proposed timeframe reasonable? In particular do you consider reasonable the proposed timeline for the implementation of the changes in the area of: a. definition of default; b. LGD and conversion factor estimation; c. PD estimation; d. treatment of defaulted assets; e. CRM?
See attached document4. Are there any other aspects related with the application of the definition of default that should be clarified in the GL?
See attached document5. Do you have experience with adjustments of historical data? What are the methods that you used to adjust historical data, including both internal and external data?
See attached document6. To what extent is it possible to adjust your historical data to the proposed concept of materiality threshold for the purpose of calibration of risk estimates?
See attached document7. What is the expected materiality of the changes in your IRB models that will result from the proposed clarifications as described in section 4.3.2?
See attached document8. Do you consider the direction of the proposed changes adequate to address the weaknesses and divergences in the models across institutions?
See attached document9. Are there any other aspects related with the estimation of risk parameters that should be clarified in the EBA guidelines?
See attached document10. Do you have dedicated LGD models for exposures in default that fulfil the requirements specified in section 4.3.4.(ii)?
See attached document11. Do you consider the direction of the proposed changes adequate to address the weaknesses and divergences in the treatment of defaulted assets across institutions?
See attached document12. What else should be covered by the GL on the treatment of defaulted assets?
See attached document13. What are the impacts for the institutions that should be considered when specifying the conditions for PPU and roll-out?
See attached document14. Do you expect that your organisational structure and/or allocation of responsibilities will have to be changed as a result of the rules described in section 4.3.5?
See attached document15. Do you agree that CRM is a low priority area as regards the regulatory developments?
See attached document16. Are there any other significant intra-EU or global discrepancies?
See attached document17. Do you agree that the area of disclosures needs to be strengthened, in particular with regard to disclosures related with the benchmarking exercise, for instance by publishing them on the EBA website?
See attached document18. Would you support EBA Guidelines targeted at disclosure requirements related with the IRB Approach and taking into consideration the proposals of the Basel Committee on those requirements? Which current disclosure requirements should be given the priority? What should be the timetable for such Guidelines?
See attached document19. Would you like to see any modification of the reporting framework implemented in terms of IRB exposures?
See attached document20. What would you consider an appropriate solution with regard to the definition and treatment (modelling restrictions) of the low default portfolios?
See attached document21. How would you ensure appropriate use of the IRB Approach in a harmonised manner without excessive concerns of the so called ‘cherry picking’?
See attached document22. Do you see merit in moving towards the harmonisation of the exposure classes for the purpose of the IRB and the Standardised Approach?
See attached document23. Would the requirement to use TTC approach in the rating systems lead to significant divergences with the internal risk management practices?
See attached document24. Do you agree that the possibility to grant permission for the data waiver should be removed from the CRR?
See attached document25. Are there any other aspects of the IRB Approach not discussed in this document that should be reviewed in order to enhance comparability of the risk estimates and capital requirements?
See attached documentName of organisation
EACB - European Association of Co-operative Banks