CP10 (Full Document) - European Banking Authority

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Management, and centralised risk management functions. ‣ Assess compliance with the Use Test. local risk management functions. ‣ Assess compliance with the Use Test with respect to local models ‣ Assess selfassessment. ‣ Assess the rollout plan, if applicable · Reporting the results of work performed ‣ Collate progress reports and assess the overall level of progress. ‣ Assess whether the supervisory plans need to be revised. ‣ Report overall progress to host supervisors in accordance with the agreed supervisory plan. ‣ Provide the consolidating supervisor with progress reports on the work in accordance with the agreed supervisory plan. ‣ Inform the consolidating supervisor immediately in the event of: Significant failings identified in the model application process. If there is a risk that deadlines will not be met. Step 4 – Decision Crossborder implications Tasks or considerations for the Consolidating supervisor Tasks or considerations for the host supervisor · Agreement of decision ‣ Agree on decisions. ‣ Agree on any terms and conditions to be attached to ‣ Agree on decisions. ‣ Agree on any terms and conditions to be attached to
the decision. ‣ Agree on the process for handling rollout. ‣ Agree on the timeframe for implementing the decision. the decision. ‣ Agree on the process for handling rollout. ‣ Agree on the timeframe for implementing the decision. · Communication of decision ‣ Draw up a fully reasoned decision document in accordance with agreed principles for convergence. Step 5 – Implementation Crossborder implications · Implementation of decision Tasks or considerations for the Consolidating supervisor ‣ Implement the decision in accordance with national legislation. Tasks or considerations for the host supervisor ‣ Implement the decision in accordance with national legislation. · Planning, assessing, and reporting Follow similar procedures to step 3. Follow similar procedures to step 3. Step 6 – On going review · The ongoing review of the continuing appropriateness of the models in use shall be conducted within the Pillar 2 framework. The framework for supervisory cooperation should follow the steps outlined above.
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CEBS CP 10 11 July 2005 Guidelines
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ANNEXES ...........................
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to use these approaches. 6. The gui
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IRB approach can be given only if t
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approaches for regulatory purposes
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purposes, when the group has submit
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efficient running of the process, u
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and/or 105 of the CRD, subject to t
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58. Institutions intending to move
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translated, supervisors will organi
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76. The issues that supervisors are
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holding company, the competent auth
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· A new approval process shall not
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· Institutions may not be ready to
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2. Asking institutions to notify su
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116. ‘Immaterial’ should refer
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128. The EU Council has proposed th
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should start with inputs, and those
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to be only broadly compliant with t
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institutions to be able to identify
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differentiated if their loss rates
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payments are originating from the s
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any of its subsidiaries in full, wi
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197. As a general rule, the rating
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· Their discounting method results
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grades. In this case, all of the re
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of challenges, including choosing t
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228. In principle, supervisors do n
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prices on defaulted exposures, and
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LGD estimation, they have to be tak
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The exposure value for the followin
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investigating the potential drivers
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advisable in some circumstances not
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terms) the proof of consistency wit
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Page 77 and 78: used to quantify the risk parameter
Page 79 and 80: years for the economy as a whole, a
Page 81 and 82: · Institutions must be able to bri
Page 83 and 84: Benchmarking the outputs of interna
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Page 87 and 88: systems” (Annex VII, Part 4, Para
Page 89 and 90: · Examining reports from Internal
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Page 101 and 102: · The rollout plan should have a
Page 103 and 104: Principles and examples 1. The purp
Page 105 and 106: etween systems, recording of data t
Page 107 and 108: · The definition of an appropriate
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Page 111 and 112: · Approving proactive risk managem
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