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. Forbhreathnú

1.1 Tagairtí

• Airteagal 500 Coigeartú maidir le diúscairtí ollmhóra

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

• 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.