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Following the consultation on the general (i.e. not risk-type-specific) topics chapter of the guide launched on 28 March 2018, the risk-type-specific chapters focus on providing transparency regarding the way the ECB understands the applicable regulations for using internal models to calculate own fund requirements for credit risk, market risk and counterparty credit risk.
The guide was drafted in close cooperation with the National Competent Authorities and draws on the experience gained from on-site investigations in the context of the targeted review of internal models (TRIM) project in 2017 and 2018. It also draws on the feedback received from institutions on a first version of the guide that was made available on 28 February 2017.
The consultation on the guide ends on 7 November 2018. The guide itself and a list of frequently asked questions (FAQs) are available on the ECB’s banking supervision website. The ECB will hold a public hearing on 17 October 2018 as part of this consultation.