The European Securities and Markets Authority (ESMA) has published Consultation Paper: Guidelines on the validation and review of Credit Rating Agencies’ methodologies.
The purpose of the draft guidelines is to clarify ESMA’s expectations regarding how credit rating agencies (CRAs) should validate and review their methodologies. ESMA aims to achieve a consistent application of validation and review measures across CRAs through the demonstration of the discriminatory power, predictive power and historical robustness of their methodologies. The draft guidelines also identify the measures that CRAs should implement when validating and reviewing their methodologies with limited quantitative evidence.
The consultation paper is accompanied by a Feedback Statement which outlines the main issues that were highlighted in response to ESMA’s earlier Discussion Paper on the validation and review of Credit Rating Agencies’ methodologies. ESMA’s initial proposals have not been substantially altered and this consultation focuses on the changes that have been made in response to the feedback received. The consultation closes on 22 August 2016.
View ESMA consults on guidelines on validation and review of CRAs’ methodologies, 13 July 2016
View ESMA feedback statement on the discussions paper on the validation and review of Credit Rating Agencies’ methodology, 13 July 2016