The European Central Bank (ECB) has published a guide on materiality assessment for changes or extensions to counterparty credit risk models.

The purpose of the guide is to assist significant institutions that are directly supervised by the ECB in their self-assessment of the materiality of changes and extensions to internal models used to calculate counterparty credit and credit valuation adjustment risks of a business partner, drawing on the approaches already defined by the European Banking Authority for other risk types. The implementation of the guide will be part of the day-to-day supervisory dialogue with individual banks.

View ECB guide on materiality assessment, 25 September 2017