Response to discussion Paper on the future of the IRB Approach

Go back

2. What would you consider the areas of priorities?

See attached document

3. 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 document

4. Are there any other aspects related with the application of the definition of default that should be clarified in the GL?

See attached document

5. 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 document

6. 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 document

7. 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 document

8. Do you consider the direction of the proposed changes adequate to address the weaknesses and divergences in the models across institutions?

See attached document

9. Are there any other aspects related with the estimation of risk parameters that should be clarified in the EBA guidelines?

See attached document

10. Do you have dedicated LGD models for exposures in default that fulfil the requirements specified in section 4.3.4.(ii)?

See attached document

11. 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 document

12. What else should be covered by the GL on the treatment of defaulted assets?

See attached document

13. What are the impacts for the institutions that should be considered when specifying the conditions for PPU and roll-out?

See attached document

14. 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 document

15. Do you agree that CRM is a low priority area as regards the regulatory developments?

See attached document

16. Are there any other significant intra-EU or global discrepancies?

See attached document

17. 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 document

18. 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 document

19. Would you like to see any modification of the reporting framework implemented in terms of IRB exposures?

See attached document

20. What would you consider an appropriate solution with regard to the definition and treatment (modelling restrictions) of the low default portfolios?

See attached document

21. 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 document

22. 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 document

23. Would the requirement to use TTC approach in the rating systems lead to significant divergences with the internal risk management practices?

See attached document

24. Do you agree that the possibility to grant permission for the data waiver should be removed from the CRR?

See attached document

25. 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 document

Upload files

Name of organisation

EACB - European Association of Co-operative Banks