+Contents
---+1. Subject matter
---+2. Institutional scope and level of application
------+1. L-awtoritajiet kompetenti għandhom jeħtieġu li l-istituzzjonijiet imsemmija fil-paragrafu 2 hawn …
------+2. Dawn il-Linji Gwida għandhom japplikaw għall-istituzzjonijiet li jużaw Approċċ ta‟ Mudell Intern …
------+3. Il-linji gwida japplikaw għal istituzzjonijiet fil-livell (uniku u/jew ikkonsolidat) li fuqu …
---+A. Material scope of application
---+4. Positions subject to calculation of the IRC
------+1. Il-kalkolu tal-IRC għandu jinkludi l-pożizzjonijiet twal u qosra kollha soġġetti għal ħlas …
------+2. B‟mod partikolari, għandhom ikunu inklużi l-pożizzjonijiet li ġejjin, jekk jagħmlu parti …
------+3. Pożizzjonijiet li jirriżultaw mill-applikazzjoni tal-approċċ ta‟ trasparenza għall-ishma …
------+4. Il-pożizzjonijiet li ġejjin mhumiex ikkunsidrati titolizzazzjonijiet u għalhekk għandhom jiġu …
------+5. Pożizzjonijiet f‟dejn inadempjenti miżmuma fil-ktieb tal-kummerċ għandhom, meta jkunu materjali …
------+6. Id-definizzjoni ta‟ inadempjenza fil-każ tal-paragrafu 5 hawn fuq, għandha tkun konsistenti …
---+5. Positions not subject to calculation of the IRC
---+6. Positions in equity and equity derivatives
------+1. L-awtoritajiet kompetenti jistgħu jippermettu l-inklużjoni fl-IRC ta‟ pożizzjonijiet ta‟ ekwità …
------+2. Jekk ekwità elenkata jew strument derivattiv ibbażat fuq l-ekwita elenkata jiġi inkluż …
------+3. Minkejja l-inklużjoni fl-IRC ta‟ pożizzjonijiet f‟ekwità elenkata jew fi strumenti derivattivi …
---+7. Positions in the institution’s own debt
------+1. Pożizzjonijiet twal fid-dejn proprju tal-istituzzjoni, li jistgħu joħorġu minn negozjar jew …
------+2. Pożizzjonijiet qosra fid-dejn proprju tal-istituzzjoni, li jistgħu jinqalgħu mill-inklużjoni …
---+8. Permanent partial use
------+1. L-approċċi IRC tal-istituzzjonijiet jistgħu jiddependu jew minn klassifikazzjonijiet interni jew …
------+2. L-istituzzjonijiet għandu jkollhom proċeduri fis-seħħ għad-deduzzjoni ta‟ klassifikazzjoni għal …
---+B. Individual Modelling
---+9. Soundness standard comparable to IRB
---+10. Qualitative criteria
---+11. Source of ratings
------+1. Fejn istituzzjoni għandha estimi approvati tal-PD jew tal-PD u tal-LGD, estimi bħala parti …
------+2. Fejn, fil-każijiet tal-aħħar, istituzzjoni ma jkollhiex PDs tal-IRB u/jew LGDs approvati jew …
------+3. PDs newtrali għar-riskju m‟għandhomx ikunu aċċettabbli bħala estimi tal-PDs osservati (storiċi) …
---+12. Source of PDs and LGDs
------+1. Għalkemm l-interdipendenza bejn l-emittenti hija spiss immudellata b‟mod simili għall-qafas …
------+2. Jekk il-mudell jassumi orizzonti differenti ta‟ likwidità, l-evoluzzjoni ta‟ fatturi ta‟ riskju …
------+3. Il-korrelazzjoni bejn fattur(i) ta‟ riskju sistemiku u l-„proċess tal-kapaċità tal-emittent …
------+4. Fejn istituzzjoni tagħżel formula parametrika li tassumi fatturi multipli ta‟ riskju sistemiku …
------+5. Institutions should establish a hierarchy ranking their preferred sources for their PDs and …
---+C. Interdependence
---+13. Correlations between default and migration events
---+14. Copula assumptions
---+15. Systemic risk factors
------+1. Il-mudelli tal-IRC tal-istituzzjonijiet għandhom jirriflettu l-konċentrazzjonijiet …
------+2. Istituzzjoni għandha speċifikament tipprova li l-approċċ tagħha jkopri l-konċentrazzjonijiet …
------+3. The correlation between systemic risk factor(s) and individual issuer‟s „ability-to-pay process‟ …
------+4. Where an institution chooses a parametric formula assuming multiple systemic risk factors, thus …
---+16. Portfolio concentration
------+1. Il-matriċijiet ta‟ transizzjoni għall-immudellar tal-proċess tal-migrazzjoni ta‟ …
------+2. Jistgħu jiġu applikati matriċijiet separati ta‟ transizzjoni għal gruppi speċifiċi ta‟ emittenti …
---+17. Migration matrices
------+1. Meta jimmudellaw livell kostanti ta‟ riskju matul l-orizzont ta‟ kapital ta‟ sena …
------+2. Meta jassumu pożizzjoni kostanti ta‟ sena, li timplika li ma jadottawx orizzonti ta‟ likwidità …
------+3. Minn perspettiva ta‟ immudellar, il-livell kostanti ta‟ riskju jista' jkun rifless bħala …
------+4. L-immudellar ta‟ livell kostanti ta‟ riskju matul l-orizzont ta‟ kapital ta‟ sena jista' …
---+18. Constant level of risk assumption over the one-year capital horizon
------+1. Għall-finijiet tal-kalkolu tal-IRC, l-istituzzjonijiet jistgħu jinnetjaw il-pożizzjonijiet twal …
------+2. L-effetti ta‟ diversifikazzjoni assoċjati ma‟ pożizzjonijiet twal u qosra jistgħu jiġu …
------+3. Sabiex ir-riskju bażi jiġi rifless b‟mod adegwat, meta dan ir-riskju jkun materjali …
------+4. L-istituzzjonijiet għandhom jirriflettu l-impatt fl-orizzont ta‟ likwidità ta‟ diskrepanzi ta‟ …
------+5. Modelling the ageing of positions should not be allowed in IRC modelling, given the expected …
---+19. Hedging
------+1. L-istituzzjonijiet jistgħu jagħżlu kwalunkwe wieħed mill-approċċi disponibbli sabiex jikkonvertu …
------+2. Fir-rigward tal-punt 18 ta‟ dawn il-Linji Gwida, istituzzjoni tista' b‟mod konsistenti tassumi …
------+3. Jekk simulazzjoni, eż. il-proċess tal-valur ta‟ assi, ma tkunx irriżultat f‟bidla …
------+4. Fil-każ ta‟ migrazzjoni ta‟ klassifikazzjoni, il-varjazzjoni tal-prezzijiet tas-suq għandhom …
---+D. P&L valuation
---+20. Impact of rating change on market prices
------+1. L-istituzzjonijiet għandhom jiddefinixxu l-orizzonti ta‟ likwidità fuq livell ta‟ prodott aktar …
------+2. Madankollu, minħabba l-kwistjonijiet prattiċi ta‟ valutazzjoni kompletament granulari …
------+3. L-istituzzjonijiet għandhom, madankollu, jissorveljaw u jiddokumentaw il-firxa ta‟ prodotti …
------+4. In the case of a rating migration, the variation of market prices should be recalculated. Full …
------+5. Positions migrating into the default state should be valued on the basis of the recovery rate or …
------+6. The model should capture divergences arising from differences in credit event definition …
---+21. Computation of P&L
---+E. Liquidity horizon
---+22. The level at which to define liquidity horizons
------+1. L-istituzzjonijiet għandhom jiddokumetaw il-kriterji użati fid-determinazzjoni tal-orizzont …
------+2. Firxa wiesgħa ta‟ kriterji jistgħu jindikaw il-likwidità ta‟ pożizzjoni, ibbażati fuq esperjenza …
------+3. Tal-inqas wieħed mill-kriterji kkunsidrati fid-determinazzjoni ta‟ orizzont ta‟ likwidità għandu …
---+23. Key criteria for determining the relevant liquidity horizon
------+1. L-orizzonti ta‟ likwidità għandhom jiġu riveduti fuq bażi regolari biex jiġi żgurat li jibqgħu …
------+2. L-istituzzjonijiet għandhom jikkunsidraw bidliet sinifikanti fil-fatturi użati biex …
------+3. Maż-żmien l-istituzzjonijiet għandhom jissorveljaw u jtejbu l-firxa ta‟ fatturi użati sabiex …
------+4. Positions should be systematically assessed against the criteria chosen and allocated to …
------+5. The approach applied to link a criterion to a longer or shorter liquidity horizon should be …
---+24. Monitoring liquidity horizons - key indicators of the need for review
------+1. L-istituzzjonijiet għandhom japplikaw il-prinċipji ta‟ validazzjoni fit-tfassil, l-ittestjar u …
------+2. Il-proċess ta‟ validazzjoni tal-mudelli tal-IRC għandu tal-anqas jinkludi l-prinċipji li ġejjin …
------+3. Over time institutions should monitor and enhance the range of factors used to identify …
---+F. General matters
---+25. Validation
------+1. L-istituzzjoni għandha tiddokumenta kif il-proċess tal-IRC jiġi rrapportat internament …
------+2. Il-proċeduri li, minħabba l-ġudizzju tal-IRC, jwasslu għal azzjoni korrettiva potenzjali xierqa …
---+26. Use Test
------+1. L-istituzzjoni għandha tiddokumenta l-approċċ tagħha biex tkopri l-inadempjenza inkrimentali u …
------+2. Għalhekk, il-kalkolu tal-kejl tar-riskju ġġenerat mill-mudell u l-flussi assoċjati ta‟ data …
------+3. A comparison of the ways internal market risk model outputs are reported, judged, audited and …
---+27. Documentation
------+1. Istituzzjoni tista' tuża approċċ sabiex tkopri inadempjenza inkrimentali u r-riskju ta‟ …
------+2. L-istituzzjoni għandha tipprovdi l-informazzjoni kollha meħtieġa rigward elementi tal-approċċ …
---+28. IRC approaches based on different parameters
------+1. Il-kalkolu tal-IRC għandu jsir tal-anqas darba fil-ġimgħa. Madankollu, l-istituzzjonijiet …
------+2. L-istituzzjoni għandha tkun kapaċi tipprova li, fil-ġurnata tal-ġimgħa magħżula għall-kalkolu …
------+3. On the basis of the information provided, the competent national supervisor should decide …
------+4. In order to have its approach recognised as a non-fully compliant IRC approach, an institution …
------+5. The decision to recognise an institution‟s approach as a non-fully compliant approach is made by …
---+29. Frequency of calculation
------+1. Calculation of the IRC should be at least weekly. However, institutions can choose to compute …
------+2. The institution should be able to prove that, on the day of the week chosen for the IRC …
---+30. Date of application
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Contents
III. EBA Guidelines on the IRC ......................................................................................... 7 Title I -Subject matter, Scope and Definitions ..................................................................... 9 1. Subject matter ............................................................................................ 9 2. Scope and level of application ....................................................................... 9 3. Definitions .................................................................................................. 9 Title II - Requirements regarding institutions‟ IRC modelling ........................................ 9 A. Scope of Application ........................................................................................................................ 9 4. Positions subject to calculation of the IRC ....................................................... 9 5. Positions not subject to calculation of IRC ..................................................... 10 6. Positions in equity and equity derivatives ...................................................... 11 7. Positions in the institution‟s own debt .......................................................... 11 8. Permanent partial use ................................................................................ 12 B. Individual Modelling ...................................................................................................................... 12 9. Soundness standard comparable to IRB ....................................................... 12 10. Qualitative criteria ................................................................................... 12 11. Source of ratings ..................................................................................... 12 12. Source of PDs and LGDs ........................................................................... 13 C. Interdependence .............................................................................................................................. 13 13. Correlations between default and migration events ...................................... 13 14. Copula assumptions ................................................................................. 14 15. Systemic risk factors ................................................................................ 14 16. Portfolio concentration ............................................................................. 14 17. Migration matrices ................................................................................... 15 18. Constant level of risk assumption over the one-year capital horizon ............... 15 19. Hedging ................................................................................................. 16 D. P&L valuation .................................................................................................................................... 17 20. Impact of rating change on market prices ................................................... 17 21. Computation of P&L ................................................................................. 18 E. Liquidity horizon .............................................................................................................................. 18 22. The level at which to define liquidity horizons .............................................. 18 23. Key criteriafor determining the relevant liquidity horizon .............................. 19 24. Monitoring liquidity horizons - key indicators of the need for review ............... 20 F. General matters ................................................................................................................................ 20 25. Validation ............................................................................................... 20 26. Use Test ................................................................................................. 21 27. Documentation ........................................................................................ 21 28. IRC approaches based on different parameters ............................................ 22 29. Frequency of calculation ........................................................................... 22 Title III-Final Provisions and Implementation .................................................................... 23 30. Date of application ................................................................................... 23 8 Title I - Subject matter, Scope and Definitions
1. Ħarsa ġenerali
| Titlu |
Regolamentazzjoni |
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1. Subject matter
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These guidelines aim at achieving a common understanding among the competent authorities across the EU on IRC modelling in order to contribute to a level playing field in line with Annex V of Directive 2006/49/EC, as amended by Directive 2010/76/EU.
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2. Institutional scope and level of application
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2. Institutional scope and level of application
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A. Material scope of application
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A. Material scope of application
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4. Positions subject to calculation of the IRC
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4. Positions subject to calculation of the IRC
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5. Positions not subject to calculation of the IRC
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The following items should be excluded from the calculation of the IRC: - a. securitisations;
- b. n-th-to-default credit derivatives; and
10 - c. positions subject to the specific interest rate risk charge and different from securitisations or n-th-to-default credit derivatives if they are positions of the correlation trading portfolio (CTP).
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6. Positions in equity and equity derivatives
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6. Positions in equity and equity derivatives
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7. Positions in the institution’s own debt
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7. Positions in the institution’s own debt
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8. Permanent partial use
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8. Permanent partial use
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B. Individual Modelling
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B. Individual Modelling
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9. Soundness standard comparable to IRB
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Unless otherwise specified in these guidelines, the soundness standard comparable to IRB applicable to IRC is: a capital horizon of 1 year and a confidence interval of 99.9 %.
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10. Qualitative criteria
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All aspects of the IRC approach applied should be thoroughly documented. This includes documentation of any analysis undertaken to motivate assumptions, estimation techniques, proxies, or simplifications. Any such decisions should be justified at the request of the competent authority.
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11. Source of ratings
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11. Source of ratings
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12. Source of PDs and LGDs
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12. Source of PDs and LGDs
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C. Interdependence
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C. Interdependence
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13. Correlations between default and migration events
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Institutions‟ IRC models should include the impact of correlations between default or migration events in a way that is consistent with their purpose, which is to capture credit risk correlations between different issuers. The assumptions on which their estimation is based should be consistent with the assumptions used in the simulation. The methodology should be documented and duly justified. The approach should be adequate and conservative enough to capture the interdependence between the risk drivers of credit risk events such as defaults and migrations. This would include, for example, the obligation that, if institutions choose to estimate their correlation parameters from the prices of traded securities, the estimates should be updated frequently. 13
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14. Copula assumptions
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For the purposes of describing its assumptions on the interdependence between risk factors, an institution may select possible copula candidates according to its ability to explain default or migration clusters for historical tail events. The choice of a particular copula should be justified and documented.
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15. Systemic risk factors
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15. Systemic risk factors
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16. Portfolio concentration
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16. Portfolio concentration
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17. Migration matrices
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17. Migration matrices
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18. Constant level of risk assumption over the one-year capital horizon
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18. Constant level of risk assumption over the one-year capital horizon
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19. Hedging
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19. Hedging
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D. P&L valuation
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D. P&L valuation
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20. Impact of rating change on market prices
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20. Impact of rating change on market prices
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21. Computation of P&L
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The valuation parameters for all rating categories should be estimated in a methodologically consistent way. Since the IRC is a capital requirement for market risks, the valuation of positions under the IRC should be based on currently observable market data. Market data used to evaluate the positions to which the shocks generated by the rating migration are applied should be the latest available market data at the time of computation of the IRC.
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E. Liquidity horizon
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E. Liquidity horizon
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22. The level at which to define liquidity horizons
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22. The level at which to define liquidity horizons
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23. Key criteria for determining the relevant liquidity horizon
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23. Key criteria for determining the relevant liquidity horizon
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24. Monitoring liquidity horizons - key indicators of the need for review
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24. Monitoring liquidity horizons - key indicators of the need for review
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F. General matters
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F. General matters
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25. Validation
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25. Validation
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26. Use Test
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26. Use Test
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27. Documentation
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27. Documentation
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28. IRC approaches based on different parameters
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28. IRC approaches based on different parameters
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29. Frequency of calculation
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29. Frequency of calculation
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30. Date of application
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Competent authorities should implement these Guidelines by incorporating them within their supervisory procedures within six months after publication of the final guidelines. Thereafter, competent authorities should ensure that institutions comply with them effectively. 23
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,
1.1 Referenzi
1.2 Rekwiżiti identifikati
1.3 Standards relatati
2. Rekwiżiti identifikati
3. Standards relatati
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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