EBA publishes final standards on assessment methodology to validate market risk models
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) that specify the conditions under which Competent Authorities assess the significance of positions included in the scope of market risk internal models, as well as the methodology they shall apply when assessing an institution’s compliance with the requirements to use an Internal Model Approach (IMA) for market risk. These draft RTS are a key component of the EBA's work to ensure consistency in models’ outputs and comparability of risk-weighted exposures and will contribute to harmonise the supervisory assessment methodology across all EU Member States and, ultimately, to restore confidence in the use of such models for regulatory purposes.