EBA-RTS-2014-10 (Final draft RTS on mkt risk model extensions and changes).pdf
Final draft RTS on market risk model extensions and changes
Final draft RTS on market risk model extensions and changes
The European Banking Authority (EBA) published today its final Regulatory Technical Standards (RTS) specifying the conditions for assessing the materiality of extensions and changes of the Internal Models Approach (IMA) for market risk. These RTS complement and amend the standards on the rules for credit and operational risk which were adopted and published in the EU Official Journal on 20 May 2014.
Corrigendum to JC CP 2014 03
EBA FINAL draft Regulatory Technical Standards on prudent valuation (rev1)
Data related to market risk - 2012
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on the definition of market and its final draft RTS on Credit Valuation Adjustment risk (CVA risk). The latter is supplemented by an Opinion on CVA risk which further elaborates on the approach taken by the EBA in determining a proxy spread. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).
Opinion of the European Banking Authority - Opinion on Credit Valuation Adjustment risk for the determination of a proxy spread (EBA/Op/2013/04)
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on the definition of market (EBA/RTS/2013/16)
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on credit valuation adjustment risk for the determination of a proxy spread and the
specification of a limited number of smaller portfolios (EBA/RTS/2013/17)
The European Banking Authority (EBA) published today final draft Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS) related to market risk. In particular, the EBA published (i) RTS on the definition of materiality thresholds for specific risk in the trading book; (ii) ITS on closely correlated currencies; (iii) RTS on non-delta risk of options in the standardised market risk approach; and (iv) ITS on appropriately diversified indices. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on the definition of materiality thresholds for specific risk in the trading book (EBA/RTS/2013/14)
European Banking Authority Technical Standards - Final draft Implementing Technical Standards (ITS) on appropriately diversified indices (EBA/ITS/2013/10)
European Banking Authority Technical Standards - Final draft Implementing Technical Standards (ITS) on closely correlated currencies (EBA/ITS/2013/09)
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on non-delta risk of options in the standardised market risk approach (EBA/RTS/2013/13 )
The European Banking Authority (EBA) published today its final regulatory technical standards (RTS) specifying the conditions for assessing the materiality of extensions and changes of internal approaches for credit and operational risk. These RTS will be part of the Single rulebook aimed at enhancing regulatory harmonisation in Europe.
EBA Risk Dashboard - Q3 2013
EBA Risk Dashboard Interactive Tool