In addition, the DP asks how CRAs should meet the requirement in both Articles 7 and 8 of Commission Delegated Regulation (EU) No 447/2012 on rating methodologies that the CRAs shall have ‘processes in place to ensure that systemic credit rating anomalies highlighted by back-testing are identified and are appropriately addressed’.
The purpose of this discussion paper is to help ESMA to develop further its views on the quantitative and qualitative techniques used as part of the validation of methodologies required under the CRA Regulation.
This hearing will be of interest to all credit rating agencies supervised by ESMA. It is will also be of interest to all users of credit ratings, but particularly those with a background in the validation of credit risk models and methodologies. It will take place on 25th January.
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