Guidelines on criteria for the use of data inputs in the expected shortfall risk measure under the IMA

  • Status: Final and translated into the EU official languages

These Guidelines clarify the conditions to be met by the data related to modellable risk factors, which institutions should use in their expected shortfall (ES) calculations. The Guidelines clarify that the data used to compute the ES risk measure should be (i) accurate, (ii) appropriate, (iii) frequently updated, and (iv) complete.

Summary of document history

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Final report on Guidelines on criteria for the use of data inputs in the risk-measurement model

  • Status: Applicable
  • Application date:
  • Compliance deadline:
Documents
Final Report on Guidelines on criteria for the use of data inputs in the risk-measurement model

(592.38 KB - PDF) Last update 13 September 2021

Compliance table

(47.79 KB - Excel Spreadsheet) Last update 26 July 2022

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