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29 March 2018

ECB aims to ensure that banks apply rules on internal models in a consistent manner


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The ECB has published the first chapter of its guide to internal models for consultation. The guide is intended to ensure a common and consistent approach to the most relevant aspects of the applicable regulation on internal models for banks directly supervised by the ECB.


This first chapter of the guide is devoted to general topics and contains principles for non-model-specific topics, in particular for the internal ratings-based (IRB) approach: overarching principles, implementation of the IRB approach, internal model governance, internal validation, internal audit, model use, model change management and third-party involvement. The complete guide will also include model-specific chapters (for credit, market and counterparty credit risks). The ECB will consult on these chapters at a later date.

The guide was drafted in close cooperation with the national competent authorities (NCAs) and draws on the experience gained in the context of the targeted review of internal models (TRIM) project. A preliminary version of the guide was made available on 28 February 2017 and has been refined on the basis of the feedback received from institutions. This revised version also takes into account the outcomes of the reviews and horizontal analyses on general topics performed as part of the TRIM project.

The consultation on the guide ends on 28 May 2018. The ECB will hold a public hearing on 18 April 2018 as part of this consultation.

Press release

Guide



© ECB - European Central Bank


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