National guidance on model validation – IRB credit risk/ AMA operational risk

The following table provides references to national guidance (Circular on Own Funds) given in the field of model validation for IRB credit risk and AMA operational risk approaches.

National guidance on IRB CRD references Circular Own Funds
English Y/N   No
I. Partial use and roll out Art.85 et 89 Art.IV.5-Art.IV.8
II. Use test Art.84 Art.IV.4, Art.VI.64
III. Methodology and documentation    
1- Assignment to exposure classes Art 86(4), Annex VII Part 1 § 5-12-13, Art 86(6), Annex VII Part 1 § 6, Art 87(5) Art.VI.2.§.4,
Art.VI.10.§.1,
Art.VI.15.§.1,Art.VI.16.§.1,Art.VI.2.§.7,Art.VI.37.§.2-3
2- Definition of loss and default Annex VII Part4 §44-45, Art 4 Art.VI.87.§1-2, Art.I.2
3- Rating systems and risk quantification Annex VII Part 3-4 Art.VI.4-Art.VI.8,
Art.VI.65-Art.VI.99
4- Quality of internal documentation Annex VII Part 4 § 30-39 Art.VI.79-Art.VI.84
5- External vendor model Annex VII Part 4 § 35 Art.VI.81.§ .5
IV. Data Art.84(2)(a), Annex VII, Part 4, §5, 13, 16, 22, 25, 27, 29, 30(b), 36-39, 57, 66, 69, 71, 82, 86, 93, and 95 Art.IV.4.§.1.a,
Art.VI.71.§.1,
Art.VI.72.§.1,
Art.VI.72.§.4,
Art.VI.74.§.4,
Art.VI.76.§.1,
Art.VI.77.§.2,
ArtArt.VI.78.§.1,
Art.VI.79.§.1,
Art.VI.82-Art.VI.84,
Art.VI.88.§.9,
Art.VI.89.§.8,
Art.VI.90.§.3,
Art.90.§.5,
Art.VI.92.§.1,
Art.VI.93.§.3,
Art.VI.95.§.1,
Art.VI.96.§.2
V. Internal governance Annex VII, Part4 § 124-131 Art.VI.65-Art.VI.67


National guidance on operational risk CRD references Circular Own Funds
English Y/N   No
I. Partial use combinaisons Annex X Part 4 Art.VIII.44 point 1-4
II. Simpler approaches (BIA/TSA/ASA) Annex X Part 3 §15-17, Part 2 §1, 11 Art.VIII.7- Art.VIII.23
III. AMA    
1. Roll out Annex X part 4 Art.VIII.25 point 3
2. Use test Annex X part 3 §2, 9 Art.VIII.26 point 3
3. Data Annex X part 3 Art.VIII.26 point 6,
Art.VIII.27-
Art.VIII.31
4. Paramater estimation and validation Annex X part 3 Art.26 point 7,
Art.VIII.27-
Art.VIII.31
5. Internal governance Annex X part 3 Art.VIII.26 point 1-2

 

For an overview regarding guidance for model validation in the EU Member States see the corresponding table on the EBA homepage.

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