EBA欧洲银行-Assessment-methodology-of-the-IRB-approach_24页_1mb

报告摘要

Summary of the IRB Approach Assessment Methodology

Core Content

The document outlines the assessment methodology for the Internal Ratings Based (IRB) Approach under the Capital Requirements Regulation (CRR). It presents a consultation paper (CP) that proposes draft Regulatory Technical Standards (RTS) to ensure consistent and harmonized supervisory practices across all EU Member States. The consultation period runs until 12 March 2015.

Main Topics and Mandates

Topic	CRR Mandates	Other Mandates (e.g., Article 502 report)
Supervisory practices	RTS under Articles 144(2), 173(3), 180(3b)	-
Definition of default	RTS under Article 178(6)	GL under Article 178(7)
PD estimation	-	GL on PD computation
Downturn adjustments	RTS under Articles 181(3a), 182(4a)	GL on downturn LGD calculation
Treatment of defaulted assets	-	GL on LGD in-default, ELBE and IRB shortfall calculation
CRM	RTS under Articles 194(10), 183(6), 221(9)	Commission Implementing Regulation (EU) No 680/2014
Disclosures	-	GL under Articles 432(1), 432(2), 433
Supervisory reporting	-	Commission Implementing Regulation (EU) No 680/2014

Key Requirements and Guidelines

Harmonisation of supervisory assessment methodology is a primary objective.
The draft RTS is intended to address issues identified in the EBA Report on IRB model comparability.
The assessment methodology covers 14 chapters, mapping all minimum IRB requirements defined in the CRR.
The assessment criteria include:
- Validation of rating systems
- Risk quantification
- Data maintenance
- Governance and internal audit
- Use and experience tests
- Assignment of exposures to grades and pools
- Stress testing and own funds calculation

Specific Chapters and Key Points

Chapter I: General Rules

Roll-out plan must be approved by competent authorities.
Outsourcing of rating systems does not exempt institutions from validation.
Management body is ultimately responsible for the performance of rating systems, even if outsourced.

Chapter II: PPU and Roll-out Plan

Roll-out plan must specify fixed and reasonable dates for implementation (maximum 5 years).
Changes to the roll-out plan require approval from CAs and must meet specific conditions.

Chapter III: Governance and Validation

Validation function must be independent from model design and development.
Annual backtesting of rating systems is required.
Internal audit must review all aspects of the IRB Approach annually.

Chapter IV: Use Test and Experience Test

Use test ensures consistency between internal risk management and IRB requirements.
Experience test requires rating systems to be "broadly in line" with IRB requirements for at least three years.
Regular monitoring, validation, and internal audit reports are essential.

Chapter V: Assignment of Exposures to Grades and Pools

Independence of the assignment process is required, especially for retail exposures.
Outdated ratings must be adjusted conservatively based on the period of inactivity.

Chapter VII: Rating Systems (Models)

Rating system map must document all current and past versions for at least three years.
Human judgment is allowed but must be justified and controlled during model development and implementation.

Chapter VII: Risk Quantification

Margin of conservatism should be applied to account for data or method deficiencies and increased uncertainty.
Long run average for PD should be based on a complete economic cycle.
Default weighted average of LGD is recommended for homogenous pools or facility grades.
Multiple defaults should be treated as one default for consistency.
LGD in-default should consider recovery periods and economic conditions.
Collateral management must align with CRM requirements.

Chapter IX: Assignment of Exposures to Exposure Classes

Sequencing of exposure classification is defined:
1. Based on transaction characteristics
2. Based on obligor characteristics
3. Remaining exposures classified as corporate exposures

Chapter X: Stress Tests

Integration of stress test results with risk and capital management processes.
Stress test outcomes should influence the assessment of default rates and rating migrations.

Chapter XI: Own Funds Calculation

Effective maturity (M) for revolving exposures is based on the expiry date of the facility.
IRB shortfall must be calculated separately for defaulted and non-defaulted portfolios.

Chapter XII: Data Maintenance

Data quality is critical for accurate calculations and must be regularly reviewed.
IT infrastructure must be secure, reliable, and well-documented to support risk management and own funds calculations.