The European Banking Authority has opened a consultation on proposed guidelines on criteria for the use of data inputs in the risk measurement model under the Internal Model Approach for market risk, set out in the revised Capital Requirements Regulation, known as CRR2. The consultation closes on November 12, 2020.
CRR2 implements a revised framework for minimum capital requirements based upon market risk—the Fundamental Review of the Trading Book, published in January 2019 by the Basel Committee on Banking Standards. The revisions include an alternative IMA, one part of which is the expected shortfall risk measure used to determine capital requirements for those risk factors with sufficient available observable market data.
The EBA’s proposed guidelines specify the criteria of the data related to modellable risk factors which firms should use in their expected shortfall calculations, namely that the data should be accurate, appropriate, frequently updated, complete and consistent in its use of the expected shortfall risk measure.
View the consultation paper.
View details of the Basel market risk framework.
View details of CRR2.
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