EBA releases guidelines for internal model risk parameters
Revisions aim to strike balance between comparability of models and risk sensitivity, says EBA
The European Banking Authority published its final guidelines today (November 20) on how banks using the internal ratings-based approach should estimate risk parameters in their models.
The revised guidelines are part of the EBA’s review of the IRB approach. It said the revisions “aim to restore market participants’ trust in internal models by reducing the unjustified variability in their outcomes”. They should ensure that risk estimates in different banks’ models are comparable, “while at the
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