Follow Us

Follow us on Twitter  Follow us on LinkedIn
 

12 November 2014

EBA consults on assessment methodology for IRB approach


Default: Change to:


EBA's draft RTS are a key component of its work to ensure consistency in models outputs and comparability of risk-weighted exposures.


The EBA launched a consultation on its draft RTS on assessment methodology for internal ratings-based (IRB) approach. 

These draft RTS set out standards for the competent authorities to help them assess an institution's compliance with minimum IRB requirements when it:

  • initially applies to use the IRB approach
  • applies to use IRB approach for certain types of exposures in accordance with the sequential implementation plan
  • applies for implementation of material changes to the IRB approach
  • applies to resume less sophisticated approaches

Competent authorities will also use these draft RTS to assess whether institution meets minimum IRB requirements on an ongoing basis following their regular review of the IRB approach as well as of the changes that require notifications from the institution.

Consequently, these RTS will need to be embedded in day-to-day practices of supervisory authorities.

To ensure uniform interpretation and application by all relevant competent authorities across the EU of all minimum IRB requirements, these draft RTS provide a mapping of the assessment criteria in fourteen chapters. Furthermore, these draft RTS take account of the proportionality principle and put forward relevant methods which have to be used by competent authorities depending on the nature, size and degree of complexity of the institution´s business and organizational structure.

Comments to this consultation can be sent to the EBA by 12 March 2015. A public hearing will then take place at the EBA premises on 9 February from 9.30 to 13.30 UK time.

Press release

Consultation paper



© EBA


< Next Previous >
Key
 Hover over the blue highlighted text to view the acronym meaning
Hover over these icons for more information



Add new comment