+63. To enhance the robustness of their models, institutions should consider challenging their …
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63. To enhance the robustness of their models, institutions should consider challenging their …
To enhance the robustness of their models, institutions should consider challenging their calibration approach by: - a. comparing their results and assumptions with external, including supervisory, observations from credible sources to assess the consistency of their own assumptions and results;
- b. using sensitivity analyses to test the degree of stability and consistency of their models’ outputs or to identify the effect of potential non-linearities not included in the scenarios;
- c. where a third-party model is used, verifying that the validation framework of the external suppliers complies with the EBA Guidelines on outsourcing arrangements.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
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Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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