EBA consults on guidelines on criteria for the use of data inputs in the expected shortfall risk measure under the internal model approach

Article summary

The European Banking Authority (EBA) has launched a consultation on draft guidelines on criteria for the use of data inputs in the risk-measurement model referred to in Article 325bc of the Capital Requirements Regulation (Regulation (EU) No 575/2013) (CRR) under the Internal Model Approach (IMA) for market risk. The guidelines have been developed according to Article 325bh(3) of the CRR, which mandates the EBA to issue such guidelines. The consultation runs until 12 November 2020.