ECB: Guide on assessment methodology
05 Feb 2020 (UPDATED: 13 Mar 2026)
International
1 min read
ECB has published for consultation a guide that outlines the methodology it uses to assess the internal models banks apply to calculate their exposure to counterparty credit risk. It also describes how ECB will assess the advanced methods banks use to calculate the own funds required to account for the risks related to credit valuation adjustments. Responses are required by 18 March 2020.