133. As additional source of information for the materiality assessment, competent authorities …

As additional source of information for the materiality assessment, competent authorities should – where available and appropriate – consider the internal credit risk parameters used by the institution. This includes assessing their adequacy in accurately quantifying credit risk exposures across different portfolios, with particular attention to evidence from the yearly report produced by the validation function of the institution, and more specifically on backtesting outcomes – that is, comparing estimated parameters with observed outcomes as conducted by the institution. Competent authorities should place emphasis on portfolios where the estimated parameters have underestimated the observed outcomes.

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.