Transcription of ECB guide to internal models - Europa
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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 Contents 2 Contents Foreword 4 General topics 6 1 Overarching principles for internal mo
1 Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1), referred to in this guide as the “CRR”.
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