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11 July 2005

CEBS consultation on validation and assessment of credit and operational risk approaches





The Committee of European Banking Supervisors (CEBS) published a consultation document on the validation and assessment of the risk management and risk measurement systems used by credit institutions and investment firms for the calculation of their capital requirements. The paper reflects a common understanding among supervisors on the application of an institution to use an Advanced Measurement (AMA) or an Internal Ratings Based (IRB) approach for regulatory purposes, and sets out guidance on the minimum requirements for using these approaches.

One of the aims is to streamline the approval process, especially for cross-border groups, and contribute to a level-playing field for institutions using the more advanced risk measurement approaches. The guidelines should also further enhance the use of advanced risk management systems by institutions.

The proposals have to be revisited after the final text of the Capital Requirements Directive (CRD) has been approved. Furthermore, CEBS will continue to work on further guidance on more specific issues of the AMA and IRB approaches, which have not been covered in the current guidelines. The consultation starts today and runs until 30 October 2005.

Press release
Executive summary
Consultation Paper


© CEBS - Committee of European Banking Supervisors


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