+Guidelines on criteria for the use of data inputs in the expected shortfall risk measure under the IMA (EBA/GL/2021/07)
---+1. Compliance and reporting obligations
------+Status of these guidelines
---------+1. This document contains guidelines issued pursuant to Article 16 of Regulation (EU) No 1093/2010 …
---------+2. Guidelines set the EBA view of appropriate supervisory practices within the European System of …
------+Reporting requirements
---------+3. According to Article 16(3) of Regulation (EU) No 1093/2010, competent authorities must notify …
---------+4. Notifications will be published on the EBA website in line with Article 16(3).
---+2. Subject matter, scope and definitions
------+Subject matter
---------+5. These guidelines specify criteria for the use of data inputs in the risk-measurement model …
------+Scope of application
---------+6. These guidelines apply in relation to the permission for institutions to use alternative …
---------+7. Competent authorities should apply these guidelines in accordance with the level of application …
------+Addressees
---------+8. These guidelines are addressed to competent authorities as defined in point i-iv of Article 4(2) …
------+Definitions
---------+9. Unless otherwise specified, terms used and defined in Regulation (EU) No 575/2013 have the same …
---+3. Implementation
------+Date of application
---------+10. These guidelines apply from 01.01.2022.
---+4. Criteria for the use of data inputs in the risk-measurement model referred to in Article 325bc of Regulation (EU) No 575/2013
------+11. The data inputs used by an institution in the risk-measurement model referred to in Article …
------+4.1 Accuracy of the data inputs
---------+12. Institutions should meet the requirements in paragraph 13, 14 and 15, in order for the data …
---------+13. The historical data used to calibrate the data inputs referred to in Article 325bc of …
---------+14. The data inputs referred to in Article 325bc of Regulation (EU) No 575/2013 should be …
---------+15. The data inputs referred to in Article 325bc of Regulation (EU) No 575/2013 should be …
---------+16. In order to fulfil the requirement referred to in paragraph 12 for the data inputs from the …
---------+17. Under the first approach, institutions should reconcile the data inputs from the current …
---------+18. Under the second approach, institutions should reconcile prices produced by their internal …
---------+19. Where it is not possible to perform the reconciliations referred to in paragraphs 17 and 18 …
---------+20. As part of the records kept by the institutions to demonstrate their compliance with the …
---------+21. In order to fulfil the requirement referred to in paragraph 14 for the data inputs from the …
---------+22. In order to fulfil the requirement referred to in paragraph 15 for the data inputs from the …
---------+23. For the purposes of the reconciliations and assessments in paragraphs 17, 18, 21 and 22 …
---------+24. Institutions should carry out the assessment referred to in paragraph 17, 18, 21 and 22 at …
---------+25. The data inputs from the identified period of financial stress, referred to in Article …
---------+26. Where an institution uses Beta approximations or other random data-generating approaches for …
---------+27. Where a given risk factor in the institution’s internal model has been obtained by combining …
---------+28. Where a given risk factor in the institution’s internal model has been obtained by …
---------+29. For the purpose of paragraph 28, closest risk factor means a risk factor that is mapped to one …
------+4.2 Appropriateness of the data inputs
---------+30. The data inputs referred to in Article 325bc of Regulation (EU) No 575/2013 should capture both …
---------+31. Institutions should perform analyses supported by convincing empirical evidence and objective …
---------+32. Where historical data from market indices or other historical data representing characteristics …
---------+33. Where institutions use Beta approximations or other random data-generating approaches for the …
---------+34. The data inputs referred to in Article 325bc of Regulation (EU) No 575/2013 should allow the …
---------+35. Where institutions use Beta approximations or other random data-generating approaches for the …
------+4.3 Frequency for updating the data inputs
---------+36. Institutions should update the historical data used to calibrate the data inputs from the …
---------+37. Where institutions use Beta approximations or other random data-generating approaches for the …
------+4.4 Completeness of the data inputs
---------+38. Institutions should have procedures in place for obtaining historical data to calibrate data …
---------+39. Institutions should have clear policies and processes for the replacement of missing or …
---------+40. Institutions should ensure that data is not filtered and that values corresponding to large …
---------+41. Where interpolated or extrapolated values are used as replacements for missing or inconsistent …
---------+42. Where interpolated or extrapolated values, based on data inputs corresponding to other risk …
---------+43. Where extrapolated values, based on data inputs corresponding to other risk factors that may or …
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Guidelines on criteria for the use of data inputs in the expected shortfall risk measure under the IMA (EBA/GL/2021/07)

Guidelines on criteria for the use of data inputs in the expected shortfall risk measure under the IMA (EBA/GL/2021/07)

https://www.eba.europa.eu/legacy/regulation-and-policy/regulatory-activities/market-counterparty-and-cva-risk/guidelines – PDF

1. Overview

,
1. Compliance and reporting obligations

1. Compliance and reporting obligations
2. Subject matter, scope and definitions

2. Subject matter, scope and definitions
3. Implementation

3. Implementation
4. Criteria for the use of data inputs in the risk-measurement model referred to in Article 325bc of Regulation (EU) No 575/2013

4. Criteria for the use of data inputs in the risk-measurement model referred to in Article 325bc of Regulation (EU) No 575/2013

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards

Linked Issues

Issuelinks
is related to Imported: Guidelines on criteria for the use of data inputs in the expected shortfall risk measure under the IMA (2022-01-01-6b8ff49caa-3dad)
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