The European Banking Authority (EBA) has announced the launch of a qualitative survey on internal ratings-based (IRB) models. The main objective of this survey is to assess the impact of the EBA guidelines on the estimation of risk parameters for non-defaulted exposures, namely of the probability of default and the loss given default, and on the treatment of defaulted assets, in terms of expected amount and severity of model changes. The guidelines are part of the broader review of the IRB approach that is carried out by the EBA to reduce the unjustified variability in the outcomes of internal models, while preserving the risk sensitivity of capital requirements. The deadline for comments on the survey is 27 January 2017.
View EBA launches qualitative survey on IRB models, 16 December 2016