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

Previous versions Current version Ongoing versions

Consultation paper on Guidelines on criteria for the use of data inputs for the ES risk measure under the IMA

  • Status: Closed
  • Deadline: 12 NOVEMBER 2020
Documents
Consultation paper on Guidelines on criteria for the use of data inputs for the ES risk measure under the IMA

(981.2 KB - PDF) Last update 29 September 2020

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Received responses to the EBA

Public hearings

Public Hearing on Guidelines on criteria for data inputs for the ES under the Internal Model Approach (IMA) for market risk

Presentation

(1.15 MB - PDF) Last update 5 October 2020

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Franca Rosa Congiu