Revised market risk and counterparty credit risk frameworks

Topic area:
Status: 22.07.2019 |
Archived
Key words:
Counterparty credit risks, Market risk
Initiative
Official name
EBA ROADMAP FOR THE NEW MARKET AND COUNTERPARTY CREDIT RISK APPROACHES
EBA Roadmap for the new market and counterparty credit risk approaches
Type
Discussion paper
Level 3 / Other
Initiator
EBA
Submitted
18.12.2017
Doc. code
-
Summary
Status
Status

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Current version
Final version
27.06.2019
Next step
Entry into force and application
Entry into force

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Application date

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Scope
Associated initiatives
Level 1
–
Level 2
Back-testing requirements and Profit and Loss attribution requirements (binding, Supplement, EU)
Liquidity horizons for the IMA for market risk (binding, Supplement, EU)
Standardised Approach for CCR (binding, Supplement, EU)
RTS on the calculation of the stress scenario risk measure under the FRTB (binding, Supplement, EU)
Level 3 / Other
RESULTS FROM THE 2019 MARKET RISK BENCHMARKING EXERCISE (non-binding, EU)

Source: EBA, EBA ROADMAP FOR THE NEW MARKET AND COUNTERPARTY CREDIT RISK APPROACHES
EBA Roadmap for the new market and counterparty credit risk approaches, 2019