ECB Publishes First Chapter of Guide to Internal Models for Consultation

March 28, 2018

The European Central Bank (ECB) has published the first chapter of its guide to internal models for consultation. This first chapter of the guide is devoted to general topics and contains principles for non-model-specific topics, in particular for the internal ratings-based (IRB) approach.

The guide is intended to ensure a common and consistent approach to the most relevant aspects of the applicable regulation on internal models and will also include model-specific chapters (for credit, market and counterparty credit risks).

Further details can be found in the full press release here.