EBA published responses to two consultation papers: The Incremental Default and Migration Risk Charge / Guidelines to the Stressed VaR

20 January 2012

Certain respondents argue that for an international bank with many legal entities, the requirement to identify and calculate a separate Stressed VaR period for each legal entity puts a burden on system capacity, especially for institutions that calculate their Stressed VaR using full revaluation.

CP48: consultation paper on guidelines to the Incremental Default and Migration Risk Charge (IRC)

Responses to CP48
Associazione Bancaria Italiana (ABI)          
Barclays Capital     
Crédit Agricole     
Deutsche Bank     
Die Deutsche Kreditwirtschaft     
Federation Bancaire Francaise     
ING     
ISDA and Association for Financial Markets in Europe (AFME) (covering letter)
Svenska Bankföreningen

CP49: consultation paper on guidelines to the Stressed Value At Risk (Stressed VaR)

Responses to CP49
Associazione Bancaria Italiana (ABI)     
Barclays Capital     
Crédit Agricole     
Deutsche Bank     
Die Deutsche Kreditwirtschaft
Federation Bancaire Francaise
ING     
ISDA and Association for Financial Markets in Europe (AFME) (covering letter)
Svenska Bankföreningen
Unicredit

Press release

© EBA