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EBA publishes final Guidelines for the use of data inputs in the ES risk measure under the IMA

The EBA has published its final Guidelines clarifying the requirements that the data inputs used to determine the scenarios of future shocks applied to modellable risk factors should meet. Institutions using the alternative Internal Model Approach (IMA) for market risk are required to compute the expected shortfall (ES) risk measure for their modellable risk factors, i.e. the risk factors for which a sufficient amount of verifiable prices is available. The final guidelines set out criteria in relation to the accuracy, appropriateness, frequency for updating and completeness of the data inputs used by institutions for their modellable risk factors. The guidelines will be applicable as of 1 January 2022.

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