EBA consults on draft guidelines for Credit Conversion Factor (CCF) estimation under CRR (EU No 575/2013), covering data requirements, risk differentiation, quantification methods, downturn estimates, and conservatism margins for banks' risk parameter calculations.
EBA statement clarifying the application of CRR 3 for credit risk under the Internal Ratings Based (IRB) Approach, outlining implementation requirements, model landscape communication, and supervisory expectations for banks and authorities from January 2025.
Supervisory handbook on the validation of IRB rating systems
Follow-up report on the use of machine learning for internal ratings-based models
Consultation paper on the supervisory handbook on the validation of IRB rating systems
Principles that should be applied in ensuring representativeness of the IRB-relevant data impacted by the COVID-19 pandemic and related measures
Discussion paper on machine learning for IRB models
Opinion on the European Commission’s amendments relating to the final draft RTS on the specification of the nature, severity and duration of an economic downturn
EBA Opinion on credit insurance
EBA progress report on the IRB roadmap – monitors implementation, challenges, and supervisory benchmarking of Internal Ratings-Based approaches under Basel III, focusing on reducing variability in risk estimates and improving transparency in EU banks' capital requirements.
European Banking Authority consults on draft guidelines for estimating Loss Given Default (LGD) during economic downturns, outlining requirements for downturn LGD estimation under EU banking regulations.
EBA consults on draft Regulatory Technical Standards specifying the nature, severity, and duration of an economic downturn under CRR (Regulation (EU) No 575/2013) to enhance risk assessment and capital requirements for banks.
EBA guidelines outlining requirements for estimating Probability of Default (PD) and Loss Given Default (LGD), including treatment of defaulted exposures under the IRB Approach as per Regulation (EU) No 575/2013, applicable to financial institutions and competent authorities.
EBA Report on IRB modelling practices
EBA guidelines (EBA-GL-2017-16) on estimating Probability of Default (PD) and Loss Given Default (LGD) for non-defaulted and defaulted exposures under the IRB Approach, aiming to reduce unjustified variability in risk parameters and restore trust in internal models while ensuring risk sensitivity and harmonisation.
Consultation Paper on draft RTS on the specification of the nature, severity and duration of an economic downturn (EBA-CP-2017-02)
BSG response to Consultation Paper (EBA-CP-2016-21) - 10 February 2017
EBA December 2016 instructions for banks using IRB models to complete a qualitative survey assessing current modeling practices for PD and LGD under upcoming guidelines and regulatory technical standards (RTS) on credit risk.
Consultation Paper on Guidelines on PD LGD estimation and treatment of defaulted assets (EBA-CP-2016-21)