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The European Banking Authority (EBA) published today its final Guidelines on the estimation of risk parameters for non-defaulted exposures - namely of the probability of default (PD) and the loss given default (LGD), and on the treatment of defaulted exposures under the advanced IRB Approach, including estimation of parameters such as ELBE and LGD in-default. These Guidelines, which are part of the EBA’s regulatory review of the IRB approach, aim to restore market participants’ trust in internal models by reducing the unjustified variability in their outcomes, ensuring comparability of risk estimates while at the same time preserving risk sensitivity of capital requirements.

The European Banking Authority (EBA) launched today a public consultation on its draft Regulatory Technical Standards (RTS) specifying the nature, severity and duration of an economic downturn according to which institutions shall estimate the downturn loss given default (LGD) and conversion factor (CF). These draft RTS are part of the EBA’s broader work on the review of the IRB approach aimed at reducing the unjustified variability in the outcomes of internal models, while preserving the risk sensitivity of capital requirements. The consultation runs until 29 May 2017.

The European Banking Authority (EBA) launched today a qualitative survey on internal ratings-based (IRB) models to analyse the impact of the EBA draft Guidelines on the estimation of risk parameters for non-defaulted exposures, namely of the probability of default (PD) and the loss given default (LGD), and on the treatment of defaulted assets, which are currently under consultation.

The European Banking Authority (EBA) launched today a consultation on its draft Guidelines on the estimation of risk parameters for non-defaulted exposures, namely of the probability of default (PD) and the loss given default (LGD), and on the treatment of defaulted assets. These draft Guidelines are part of the EBA’s broader work on the review of the IRB approach aimed at reducing the unjustified variability in the outcomes of internal models, while preserving the risk sensitivity of capital requirements.

The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on the conditions for competent authorities (CAs) to grant permission for institutions to use relevant data covering shorter time series (data waiver permission), when estimating risk parameters. These RTS will be part of the Single Rulebook in the banking sector in the European Union (EU).