ECB general topics chapter of guide to internal models under SSM

On 15 November 2018, the European Central Bank (ECB) has published the general topics chapter of its guide to internal models (the Guide), together with a feedback statement to the ECB’s March consultation on the chapter (the Statement). The Guide provides transparency on how the ECB understands the general (i.e. non-model-specific) topics for internal models, in particular for the internal ratings-based (IRB) approach. Section 2 of the Guide (overarching principles for internal models) covers all Pillar 1 internal models for credit, market and counterparty credit risk, all subsequent sections (implementation of the IRB approach, internal governance, internal validation, internal audit, model use, model change management and third-party involvement) only cover credit risk Pillar 1 models. All other models, including operational risk models, Pillar 2 and managerial models are not included in the scope of the Guide, unless otherwise mentioned. The Guide should not be…

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