Regulatory Alerts2022-05-02
Added · Updated
CSSF Circular 22/809: Adoption of EBA Guidelines on Data Inputs for Risk-Measurement Models under Article 325bc CRR
The Luxembourg Commission de Surveillance du Secteur Financier (CSSF) has adopted the European Banking Authority's Guidelines on criteria for using data inputs in the risk-measurement model under Article 325bc of the Capital Requirements Regulation. This circular requires all in-scope entities, including Less Significant Institutions and CRR investment firms, to integrate these guidelines into their administrative practices to ensure supervisory convergence. In-scope entities must assess the modellability of risk factors and verify that data inputs are accurate, appropriate, frequently updated, and complete for calculating expected shortfall risk measures.
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