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ECB guide to internal models - Europa

ECB guide to internal models October 2019 ECB guide to internal models Contents 1 Document releases Release Date of issue Release number Sections/Chapters modified Rationale underlying the release guide for the Targeted Review of internal models (TRIM) First version 17/02/2017 - Public Consultation ECB guide to internal models general topics chapter 28/03/2018 General topics Incorporation of institutions feedback on version , outcomes of the supervisory review on general topics, and related horizontal analyses Public Consultation ECB guide to internal models risk-type-specific chapters 07/09/2018 Credit risk, market risk and counterparty credit risk Incorporation of institutions feedback on version and experience gained with TRIM investigations; addition of dedicated principles for low-default portfolios Revised ECB guide to internal models general topics chapter 15/11/2018 General topics Inclusion of industry s feedback received during the public consultation Revised ECB guide to internal models risk-type-specific chapters 08/07/2019 Credit risk, market risk and counterparty credit risk Inclusion of industry s feedback received during the public consultation Consolidated version 01/10/2019 Consolidated document Compilation of the general topics and risk-type-specific chapters in one consolidated document ECB guide to internal models Co

require the European Central Bank (ECB) to grant permission to use internal models for credit risk, counterparty credit risk and market risk where the requirements set

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