Transcription of ECB guide to internal models - Risk-type-specific chapters
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ECB guide to internal models - Risk-type-specific chapters
ECB guide to internal models Risk-type-specific chapters For any future reference, please use the consolidated version. September 2018. Contents Foreword 3. Credit risk 5. 1 Scope of the credit risk chapter 5. 2 Data maintenance for the IRB approach 5. 3 Data requirements 14. 4 Probability of default 20. 5 Loss given default 35. 6 Conversion factors 53. 7 Model-related MoC 61. 8 Review of estimates 62. 9 Calculation of maturity for non-retail exposures 64. Market risk 66. 1 Scope of the market risk chapter 66. 2 Scope of the internal model approach 67. 3 Regulatory back-testing of VaR models 82. 4 Aspects of internal validation of market risk models 93.
ECB guide to internal models − Foreword 4 Regulation. The ECB will amend or delete those parts of the guide when the RTS enter into force. 4. The first version of the guide3 was made available on 28 February 2017. Within
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