Regulatory Alerts2008-12-19
Guidance Notice on Changes to IRBA Systems and Borrower-Related Internal Risk Measurement Systems
BaFin and the Deutsche Bundesbank issued this guidance to establish a four-tier classification for changes to Internal Rating-Based Approach (IRBA) systems and other borrower-related risk measurement models. Institutions must implement an internal model change policy to categorize modifications as extensions, major, significant, or insignificant changes and follow corresponding supervisory communication protocols. The framework mandates advance written applications for extensions and major changes, informal pre-implementation announcements for significant changes, and annual cumulative reporting for insignificant changes, thereby preserving existing regulatory authorizations while ensuring continuous capital calculation.
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