Criteria for the use of data inputs in the expected shortfall risk measure

Topic area:
Status: 17.09.2021 |
Archived
Key words:
Market risk
Initiative
Official name
Guidelines on criteria for the use of data inputs in the risk-measurement model referred to in Article 325bc of Regulation (EU) No 575/2013 (Capital Requirements Regulation)
Type
Guidelines
Level 3 / Other
Initiator
EBA
Submitted
12.08.2020
Doc. code
EBA/GL/2021/07
Summary
Status
Status

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Current version
Final version
13.07.2021
Next step
Entry into force and application
Entry into force

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Application date

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Scope
Relevant for

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Associated initiatives
Level 1
Revision of the CRR - Capital requirements Trading Book and Market Risk (binding, EU)
Revision of the CRR (CRR2) - General Part (binding, Amendment, EU)
Level 2
Criteria for assessing the modellability of risk factors under the IMA for market risk (binding, Supplement, EU)
Level 3 / Other
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Source: EBA, EBA/GL/2021/07, 2021