Public consultation on the revised ECB Guide to internal models
This consultation gave interested parties the opportunity to comment on the revised Guide to internal models.
Deadline for submitting comments: midnight CET on 15 September 2023.
Only comments received before this deadline have been considered.
In the revised version under consultation, the Guide clarifies how banks should go about including material climate-related and environmental risks in their models. It also provides clarifications for banks that wish to revert to the standardised approach for calculating their risk-weighted assets. Specifically on credit risk, the guide helps all banks to move towards a common definition of default and a consistent treatment of massive disposals. The update of the market risk chapter details how to measure default risk in trading book positions. The Guide also provides clarifications regarding counterparty credit risk, which is the risk that the counterparty to a transaction could default.
Deadline for submitting comments: midnight CET on 15 September 2023.
Only comments received before this deadline have been considered.
For details on how your personal data and contribution will be handled, please see this privacy statement:
Privacy statement- 1 October 2019
- July 2019
- November 2018
- 16 April 2014
- 15 October 2013
- 26 June 2013
-
Regulation on prudential requirements for credit institutions and investment firms (CRR)