European Central Bank Publishes Guide to Assessment Methodology for Counterparty Credit Risk and Credit Valuation Adjustment Risk Calculations09/18/2020The European Central Bank has published its final Guide on the assessment methodology it will use to examine: (i) the internal model methods banks use to calculate exposures to counterparty credit risk; and (ii) the advanced methods banks use to calculate own funds requirements for credit valuation adjustment risk. The EU Capital Requirements Regulation requires the ECB to permit banks to use internal models for counterparty credit risk purposes if those models comply with relevant CRR provisions. The ECB's Guide sets out how the ECB will determine banks' compliance.
The Guide was adopted by the Supervisory Board to the Governing Council of the ECB on September 11, 2020. It is not intended to replace or affect relevant EU or national law. The publication of the Guide follows the ECB's latest consultation on the draft Guide, which closed on March 18, 2020. The ECB has published a Feedback Statement, alongside the final Guide, setting out the responses it received to its consultation. Amendments were made to the Guide as originally proposed in response to the feedback the ECB received.
View the ECB's Guide and Feedback Statement.
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