Search
Article 352
Calculation of the overall net foreign exchange positionArticle 325ay
Vega and curvature risk correlationsArticle 325a
Exemptions from specific reporting requirements for market riskArticle 78
Supervisory permission to reduce own fundsEBA Report on the 2021 Market Risk Benchmarking Exercise.pdf
Report on the 2021 Market Risk Benchmarking Exercise
Final draft RTS on emerging markets and advanced economies for equity risk.pdf
Final draft RTS on emerging markets and advanced economies for equity risk
EBA publishes technical standards listing advanced economy countries for market risk own funds requirements
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.
EBA publishes final draft technical standards on the alternative standardised approach for market risk as part of its FRTB roadmap
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.
EBA-RTS-2021-09 (Final draft RTS on gross JTD amounts).pdf
Final draft RTS on gross jump-to-default amounts
Final Report on draft RTS on RRAO.pdf
Final Report on draft RTS on residual risk add-on
Guidelines on use of data inputs in the IMA.pdf
Final Report on Guidelines on criteria for the use of data inputs in the risk-measurement model
EBA publishes final Guidelines for the use of data inputs in the expected shortfall risk measure under the Internal Model Approach
The European Banking Authority (EBA) published today its final Guidelines clarifying the requirements that the data inputs used to determine the scenarios of future shocks applied to modellable risk factors should meet. The Guidelines, which are part of the deliverables included in the roadmap for the new market and counterparty credit risk approaches, will be applicable from 1 January 2022.
Consultation on draft RTS on emerging markets and advanced economies
Consultation on draft RTS on gross jump-to-default (JTD) amounts
Consultation on draft RTS on residual risk add-on
CP on draft RTS on Advanced economies for equity risk.pdf
Consultation paper on draft RTS on Advanced economies for equity risk
EBA consults on the list of advanced economies to determine equity risk under the new market risk regime
The European Banking Authority (EBA) launched today a public consultation on its 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 consultation runs until 2 July 2021.
Regulatory Technical Standards on emerging markets and advanced economies
EBA releases its annual assessment of the consistency of internal model outcomes for 2020
The European Banking Authority (EBA) published today two Reports on the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the calculation of capital requirements for 2020. The Reports cover credit risk for high and low default portfolios (LDPs and HDPs), as well as market risk. The results confirm that the majority of risk-weights (RWs) variability can be explained by fundamentals. These benchmarking exercises are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restoring trust in internal models.