2. Therefore, the calculation of the risk measures generated by the model and the associated data …

Therefore, the calculation of the risk measures generated by the model and the associated data flows should be documented to a level of detail that would allow a third party to replicate these risk measures. Furthermore, the institution should document the process for initial and ongoing validation of the IRC model to a level of detail that would enable a third party to replicate the analysis. This documentation should also contain a description of the ongoing model maintenance processes as employed in the course of the initial assignment and update of model input parameters.

21

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.