121. CSRBB does not include the effect of credit quality changes during the observation period …

CSRBB does not include the effect of credit quality changes during the observation period (i.e., rating category downgrade/upgrade of a specific counterparty or instrument, considered as migration risk). In particular, the deterioration of an i nstitution’s credit quality should not have any positive impact on the credit spread risk measure. Institutions should avoid any overlap with the credit valuation adjustment risk management framework when assessing the CSRBB.

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.

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