EBA consultation on technical standards related to internal models under the FRTB
On 27 June 2019, the European Banking Authority (EBA) published a consultation on technical standards related to internal models under the FTRB. The FRTB refers to the fundamental review of prudential regulations concerning the trading book. A total of 11 technical standards are included in three separate consultation papers:
The consultation papers are available on the EBA website, which also provides more detailed instructions for the submission of comments. The consultation period is open until 4 October 2019.
There will be a public hearing on the topic in the EBA’s premises in Paris on 5 September at 11:00–13:00 local time.
Data collection on non-modellable risk factors and a roadmap for EBA deliverables in the field of market and counterparty credit risk
On 27 June 2019, the EBA published a data collection on non-modellable risk factors and a roadmap for its new approaches to market and counterparty credit risk.
For the data collection on non-modellable risk factors, model templates and reporting instructions were published.
Meanwhile, the roadmap presents a comprehensive overview of the EBA deliverables in the field of market risk and counterparty credit risk. The EBA’s work in the field is divided into four phases. The first phases are envisaged to cover the implementation of the most essential parts of regulation, while subsequent work focuses on items whose development requires experience or feedback from the initial phases.
The entire roadmap and the data collection template with related instructions are available on the EBA website.
For further information, please contact
Tommi Aarnio, Risk Expert, tommi.aarnio(at)fiva.fi or tel. +358 9 183 5007
EBA publishes its roadmap for the new market and counterparty credit risk approaches and launches consultation on technical standards on the IMA under the FRTB along with a data collection on non-modellable risk factors