The European Central Bank (ECB) has published for consultation a guide on the materiality assessment for changes to counterparty credit risk models. The draft ECB guide indicates how the ECB intends to interpret the existing legal framework and assists significant institutions directly supervised by the ECB in their self-assessment of the materiality of changes and extensions to internal models used to calculate counterparty credit and credit valuation adjustment risks of a business partner drawing as much as possible on the approaches already defined by the European Banking Authority for other risk types. The deadline for comments on the consultation guide is 14 February 2017.
View ECB consults on guide on materiality assessment for changes to counterparty credit risk models, 16 December 2016