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  • European Banking Authority Consults on Proposed Guidelines on the Application of the IRB Approach
    11/14/2016
    The European Banking Authority published a consultation paper on proposed Guidelines on the application of the Internal Ratings-Based approach, in particular, the estimation of risk parameters for non-defaulted exposures, namely of the probability of default (PD) and the loss given default (LGD), and on the treatment of defaulted assets. The draft Guidelines focus on the definitions and modelling techniques used in the estimation of risk parameters for both non-defaulted and defaulted exposures. The Guidelines aim to address concerns raised over the lack of comparability of capital requirements determined under the IRB approach across firms which the EBA raised in its Opinion and Report on the implementation of the regulatory review of the IRB approach to calculating risk-weighted exposure amounts for credit risk, published in February 2016. 

    Responses to the consultation are due by February 10, 2017. The EBA is proposing that the Guidelines would apply from the end of 2020 due to the numerous changes to rating systems that the Guidelines would involve.
     
    View the consultation paper. 

    View the EBA's Opinion and Report on the implementation of the IRB approach.
    TOPIC: Bank Prudential Regulation & Regulatory Capital