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Guidance for Model Validation – IRB / AMA
According to Article 144 lit. a of directive 2006/48/EC competent authorities are required to disclose general guidance adopted in the field of prudential regulation. In the field of Basel II implementation, this refers to all disclosures judged necessary to explain how the new capital requirements should be applied by the supervised institutions.
In addition to the reference to the legal implementation of the requirements regarding model validation, the FMA includes the guidelines on rating models and validation and those on operational risk management (see Downloads) published in cooperation with the Austrian National Bank (OeNB) in the following list:
AUSTRIA | ||
| Guidance on IRB | Reference | FMA/OeNB, Guidelines on Credit Risk Management, Rating Models and Validation, November 2004 (see Downloads) |
§§ 21a and 22b BWG | ||
| Availability in English (Yes/No) | Yes. | Yes. |
| I. Partial Use and Roll Out | Art. 85 and 89 | § 21a Para. 6 and 7 BWG § 22b Para. 2 and 9 BWG |
| II. Use Test | Art. 84 | § 21a Para. 1 lit. 1 to 8 BWG § 22b Para. 2 and 9 BWG |
| III. Methodology and Documentation | ||
| 1. Assignment to Exposure Classes | Art. 86 Para. 4 Annex VII, Part 1, Numbers 4 to 11 Art. 86 Para. 6 Annex VII, Part 1, Number 5 Art. 87 Para. 4 | § 22b Para. 2 lit. 4 BWG §§ 74 and 75 SolvaV § 22b Para. 2 lit. 3 BWG § 74 Para. 3 to 5 SolvaV § 22b Para. 4 BWG |
| 2. Definition of Loss and Default | Art. 4 | § 22b Para. 5 BWG § 64 SolvaV |
| 3. Rating Systems and Risk Quantification | Annex VII, Part 3 and 4 | §§ 37 to 67 SolvaV |
| 4. Quality of Internal Documentation | Annex VII, Part 4, Numbers 31 to 40 | § 41 to 44 SolvaV |
| 5. External Vendor Model | Annex VII, Part 4, Number 36 and 123 to 130 | § 39 Para 5 SolvaV |
| IV. Data | Art. 84a Annex VII, Part 4, Numbers 5, 14, 17, 23, 26, 28, 30, 31b, 37 to 40, 57, 66, 69, 71, 81, 85, 92 and 94 | § 21a BWG §§ 38 Para. 3 and 4, 39 Para. 3 and 5, 40, 41, 44, 47 Para. 8, 47, 49, 51, 52, 54 and 55 SolvaV |
| V. Internal Governance | Annex VII, Part 4, Numbers 123 to 130 | §§ 63 and 64 SolvaV |
| July 2008 | ||
AUSTRIA | ||
| Guidance on Operational Risk | Reference | FMA, OeNB, Guidelines on Operational Risk Management, August 2006 (see Downloads) |
| § 21d BWG §§ 22i to 22m BWG §§ 182 to 194 SolvaV | ||
| Availability in Englisch (Yes/No) | Yes. | Yes. |
| I. Partial Use Combinations | Annex X, Part 4 | § 22m BWG |
| II. Simpler Approaches (BIA, STA, ASA) | Annex X, Part 3, Numbers 15 to 17, Annex X, Part 2, Numbers 1 and 15 | § 22j BWG §§ 182 to 184 SolvaV § 22k BWG § 185 SolvaV |
| III. AMA | § 21d BWG § 22l BWG §§ 188 to 194 SolvaV | |
| 1. Roll Out | Annex X, Part 4 | § 22m BWG |
| 2. Use Test | Annex X, Part 3, Numbers 2 and 9 | § 21d Para. 2 lit. 1 BWG § 21d Para. 6 lit. 5 to 7 BWG § 189 Para. 2 SolvaV |
| 3. Data | Annex X, Part 3 | § 21d Para. 2 and 7 BWG §§ 189 to 194 SolvaV |
| 4. Parameter Estimation and Validation | Annex X, Part 3 | § 21d Para. 2 and 7 BWG §§ 189 to 194 SolvaV |
| 5. Internal Governance | Annex X, Part 3 | § 21d Para. 2 and 7 BWG §§ 189 to 194 SolvaV |
| July 2008 | ||
For an overview regarding guidance for model validation in the EU Member States see the corresponding table on the CEBS homepage.
Downloads:
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Federal Banking Act (Bankwesengesetz - BWG)
pdf 986 KB
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Regulation of the Financial Market Authority (FMA) on the Solvency of Credit Institutions, Solvency Regulation (Solvabilitätsverordnung - SolvaV)
pdf 857 KB
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CEBS, Guidelines on the Implementation, Validation and Assessment of Advanced Measurement (AMA) and Internal Ratings Based (IRB) Approaches, April 4, 2006
pdf 1754 KB
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FMA/OeNB, Guidelines on Credit Risk, Volume 2, "Rating Models and Validation", November 2004
pdf 4718 KB
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FMA/OeNB, Guidelines on Operational Risk Management, August 2006
pdf 1407 KB
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FMA, CEBS Table on Model Validation, July 2008
xls 56 KB
