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EBA consults on Guidelines on credit risk mitigation for institutions applying the IRB approach with own estimates of LGD
The European Banking Authority (EBA) launched today a consultation on its Guidelines on Credit Risk Mitigation in the context of the advanced internal rating-based (A-IRB) approach, aim to eliminate the remaining significant differences in approaches in the area of credit risk mitigation (CRM), which are either due to different supervisory practices or bank-specific choices. These draft Guidelines complement the EBA Report on CRM, which focused on the standardised approach (SA) and the foundation-IRB approach (F-IRB). The consultation runs until 25 May 2019.
EBA publishes final draft technical standards on the specification of an economic downturn
Consultation on Guidelines for the estimation of LGD appropriate for an economic downturn
Second consultation on RTS on estimation and identification of an economic downturn in IRB modelling
EBA consults on standards on estimation and identification of an economic downturn in IRB modelling
The European Banking Authority (EBA) launched today two consultations on draft regulatory technical standards (RTS) specifying an economic downturn and on a set of Guidelines related to the estimation of loss given default (LGD) appropriate for conditions of an economic downturn. The draft RTS specify the nature, severity and duration of an economic downturn, while the Guidelines focus on the appropriate estimation of the LGD in a situation of economic downturn. This package is part of the EBA’s broader work on the review of the IRB approach aiming at reducing the unjustified variability in the outcomes of internal models, while preserving the risk sensitivity of capital requirements. The consultations run until 22 June 2018.
Consultation Paper on RTS on economic downturn (EBA CP 2018 07).pdf
Consultation paper on guidelines for downturn LGD estimation (EBA CP 2018 08).pdf
Guidelines on PD and LGD estimation (EBA-GL-2017-16)_EN.pdf
Guidelines on PD estimation, LGD estimation and treatment of defaulted assets
EBA publishes final Guidelines on the estimation of risk parameters under the IRB Approach
The European Banking Authority (EBA) published today its final Guidelines on the estimation of risk parameters for non-defaulted exposures - namely of the probability of default (PD) and the loss given default (LGD), and on the treatment of defaulted exposures under the advanced IRB Approach, including estimation of parameters such as ELBE and LGD in-default. These Guidelines, which are part of the EBA’s regulatory review of the IRB approach, aim to restore market participants’ trust in internal models by reducing the unjustified variability in their outcomes, ensuring comparability of risk estimates while at the same time preserving risk sensitivity of capital requirements.
Guidelines on PD and LGD estimation (EBA-GL-2017-16).pdf
EBA Report on IRB modelling practices.pdf
EBA Report on IRB modelling practices
Consultation on RTS on the specification of the nature, severity and duration of an economic downturn
Consultation Paper on draft RTS on the specification of the nature, severity and duration of an economic downturn (EBA-CP-2017-02).pdf
Consultation Paper on draft RTS on the specification of the nature, severity and duration of an economic downturn (EBA-CP-2017-02)
EBA consults on specification of an economic downturn
The European Banking Authority (EBA) launched today a public consultation on its draft Regulatory Technical Standards (RTS) specifying the nature, severity and duration of an economic downturn according to which institutions shall estimate the downturn loss given default (LGD) and conversion factor (CF). These draft RTS are part of the EBA’s broader work on the review of the IRB approach aimed at reducing the unjustified variability in the outcomes of internal models, while preserving the risk sensitivity of capital requirements. The consultation runs until 29 May 2017.
BSG response to Consultation Paper (EBA-CP-2016-21) - 10 February 2017.pdf
BSG response to Consultation Paper (EBA-CP-2016-21) - 10 February 2017