In particular, these draft RTS provide objective criteria to be applied in the assessment of the significance of those positions included in the scope of the internal model and propose two different methodologies for general and specific risk categories, both of them based on the standardised rules for market risk.
In addition, the draft RTS set out the standards for the assessment by competent authorities of an institution's compliance with IMA requirements when the institution applies to use an internal model to determine market risk capital requirements or introduces any material changes or extensions to the IMA approach already in use. These draft RTS will also assist competent authorities in assessing whether an institution meets minimum IMA requirements on an ongoing basis following the regular review of its internal model. Consequently, these RTS will need to be embedded by supervisory authorities in their day-to-day practices.
Comments to this consultation can be sent to the EBA by 13 March 2016. A public hearing will then take place at the EBA premises on 25 January 2016 from 14:00 to 17:00 UK time.
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