31. On risk measurement, assessment and aggregation methodologies used within ICAAP, competent …

On risk measurement, assessment and aggregation methodologies used within ICAAP, competent authorities should ensure that they receive from institutions the following:

• a. general description of key features of quantification/measurement methodologies and models, including metrics, assumptions and parameters used (e.g. confidence intervals, holding periods etc.) for all risk categories and sub-categories that are used for the approval of methodologies and models by the management body of the institution;
• b. specification of the actual data used, including an explanation of how the data used reflects the scope of group entities covered by ICAAP, including the length of the time series;
• c. description of the main differences between quantification/measurement methodologies and models used for ICAAP purposes and those used for the calculation of the minimum own funds requirements for risks covered by Regulation (EU) No 575/2013 (in case an institution is using advanced models approved by the competent authorities). Such description should be provided on a risk-by-risk basis and include inter alia information on the different use of Basel I transitional floors (Article 500 of Regulation (EU) No 575/2013), different assumptions regarding risk parameters, confidence intervals etc.;
• d. description of the approach to the aggregation of the internal capital estimates for the entities and the risk categories covered, including the approach to intra-risk and inter-risk diversification benefits and/or concentrations where considered by the institution’s methodology.

6.2.2 Operational documentation

1. Overview

1.1 References

• Article 500 Adjustment for massive disposals

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/