Credit risk

Credit risk focuses on the development of BTS, Guidelines and Reports regarding the calculation of capital requirements under the Standardised Approach and IRB Approach for credit risk and dilution risk in respect of all the business activities of an institution, excluding the trading book business. The objective is to provide a consistent implementation across the EU of the provisions related to topics such as credit risk adjustments, definition of default, permission to use Standardised/IRB approach, appropriateness of risk weights or credit risk mitigation techniques.

links

Technical Standards, Guidelines & Recommendations

Technical standards

Adopted and published in the Official Journal of the EU

Regulatory Technical Standards on the treatment of equity exposures under the IRB Approach

These Regulatory Technical Standards (RTS) specify the treatment of equity exposures under the internal ratings-based (IRB) approach. According to the Capital Requirements Regulation (CRR) competent authorities are allowed to temporarily exempt from IRB treatment certain equity exposures held by institutions as at 31 December 2007. These RTS specify the conditions under which competent authorities can grant such an exemption.

Regulatory Technical Standards on the calculation of credit risk adjustments

These Regulatory Technical Standards (RTS) stem from Article 110(4) of the Capital Requirements Regulation which provides for the EBA to clarify the calculation of specific credit risk adjustments (SCRAs) and general credit risk adjustments (GCRAs) under the applicable accounting framework for (i) the determination of exposure values; (ii) the treatment of expected loss amounts; and (iii) the determination of default.

Opinions, Reports and other Publications

Opinions