PRESS RELEASE

ECB launches public consultation on the risk-type-specific chapters of its guide to internal models

7 September 2018

  • ECB publishes credit risk, market risk and counterparty credit risk chapters of guide to internal models for consultation
  • Consultation period ends on 7 November 2018
  • Risk-type-specific chapters outline how ECB aims to ensure uniform understanding of existing legal framework

Today the European Central Bank (ECB) has published the three risk-type-specific chapters of its guide to internal models for consultation. These chapters, on credit risk, market risk and counterparty credit risk, are intended to ensure a common and consistent approach to the most relevant aspects of the applicable regulations on internal models for banks directly supervised by the ECB.

Following the consultation on the general (i.e. not risk-type-specific) topics chapter of the guide launched on 28 March 2018, the risk-type-specific chapters focus on providing transparency regarding the way the ECB understands the applicable regulations for using internal models to calculate own fund requirements for credit risk, market risk and counterparty credit risk.

The guide was drafted in close cooperation with the National Competent Authorities and draws on the experience gained from on-site investigations in the context of the targeted review of internal models (TRIM) project in 2017 and 2018. It also draws on the feedback received from institutions on a first version of the guide that was made available on 28 February 2017.

The consultation on the guide starts today and ends on 7 November 2018. The guide itself and a list of frequently asked questions (FAQs) are available on the ECB’s banking supervision website.

The ECB will hold a public hearing on 17 October 2018 as part of this consultation. Information on registering for the public hearing and submitting comments can be found on the ECB’s banking supervision website. Following the public consultation, the ECB will publish the comments received together with a feedback statement.

For media queries, please contact Esther Tejedor, tel.: +49 69 1344 95596.

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