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CEBS published its first peer review report on its members’ compliance with its Guidelines on the validation of the Advanced Measurement (AMA) and Internal Ratings Based (IRB) approaches used by banks to calculate capital requirements.
The peer review report concluded that supervisory authorities have generally complied with the Guidelines’ provisions in a practical and sensible manner with regards to home-host co-operation. The review highlighted a few cases of non compliance by members acting as consolidating supervisors.
In general, the time needed to reach a joint decision appeared to depend strongly on the number of supervisors involved, and the six-month deadline too short for large cross-border groups.
CEBS concluded that detailed follow-up guidance is needed on a number of points to ensure convergence of practices in the implementation of the Guidelines. Such guidance could, for example, set a maximum period of time for checking the completeness of an application and elaborate on the impact of the timelines for national transposition of a joint decision and the six-month deadline for making a decision.
Finally, the methodology of the peer review mechanism needs refinement. Specific proposals will be discussed by CEBS in June 2009.
Peer Review Report on Validation
Other related documents:
CEBS's Guidelines on Validation
CEBS's Members Self-Assessments
Summary of the Self-Assessments