EBA Report results from the 2022 Market Risk Benchmarking Exercise.pdf
Report results from the 2022 market risk benchmarking exercise
Report results from the 2022 market risk benchmarking exercise
The European Banking Authority (EBA) today published a no-action letter stating that competent authorities should not prioritise any supervisory or enforcement action in relation to the new banking book – trading book boundary provisions.
Opinion on the application of the provisions relating to the boundary between trading book and banking book
The European Banking Authority (EBA) updated today the list of diversified indices, originally published in 2013 and previously updated in 2019. The list is part of the implementing technical standards (ITS) drafted to calculate the capital requirements for position risk in equities according to the standardised rules. The list has been updated according to the procedure and methodology laid down in the ITS and submitted to the European Commission for endorsement.
Annex on diversified indices
Updated ITS on diversified indices
Final Report on draft RTS on PD and LGD under the internal default risk model
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on probabilities of default (PDs) and losses given default (LGDs) for default risk model for institutions using the new Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB). These final draft RTS specify the requirements for estimating PDs and LGDs using an institution's internal methodology or external sources. These draft RTS are part of the deliverables included in the roadmap for the new market and counterparty credit risk approaches.
Report on the 2021 Market Risk Benchmarking Exercise
Final draft RTS on emerging markets and advanced economies for equity risk
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on the list of countries with an advanced economy for calculating the equity risk under the alternative standardised approach (FRTB-SA). These RTS are part of the phase 3 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches.
The European Banking Authority (EBA) publishes today its final draft Regulatory Technical Standards (RTS) on gross jump-to-default (JTD) amounts and on residual risk add-on (RRAO). These final draft RTS provide technical specifications for the implementation of these two elements of the alternative standardised approach for market risk. The draft RTS are part of the phase 3 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches.
Final draft RTS on gross jump-to-default amounts
Final Report on draft RTS on residual risk add-on
Final Report on Guidelines on criteria for the use of data inputs in the risk-measurement model