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Commission Delegated Regulation (EU) 2022/439

Preamble
Recitals 38
Chapter 1 - GENERAL PROVISIONS ON THE ASSESSMENT METHODOLOGY (Article 1-5) 5
Chapter 2 - ASSESSMENT METHODOLOGY FOR SEQUENTIAL IMPLEMENTATION PLANS AND PERMANENT PARTIAL USE OF THE STANDARDISED APPROACH (Article 6-8) 3
Chapter 3 - ASSESSMENT METHODOLOGY FOR THE FUNCTION OF VALIDATION OF INTERNAL ESTIMATES AND OF THE INTERNAL GOVERNANCE AND OVERSIGHT OF AN INSTITUTION (Article 9-17) 9
Chapter 4 - ASSESSMENT METHODOLOGY FOR USE TEST AND EXPERIENCE TEST (Article 18-22) 5
Chapter 5 - ASSESSMENT METHODOLOGY FOR ASSIGNMENT OF EXPOSURES TO GRADES OR POOLS (Article 23-25) 3
Chapter 6 - ASSESSMENT METHODOLOGY FOR IDENTIFICATION OF DEFAULTS (Article 26-29) 4
Chapter 7 - ASSESSMENT METHODOLOGY FOR RATING SYSTEMS DESIGN, OPERATIONAL DETAILS AND DOCUMENTATION (Article 30-40) 11
Chapter 8 - ASSESSMENT METHODOLOGY FOR RISK QUANTIFICATION (Article 41-58) 18
Chapter 9 - ASSESSMENT METHODOLOGY FOR ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES (Article 59-62) 4
Chapter 10 - ASSESSMENT METHODOLOGY FOR STRESS TEST USED IN ASSESSMENT OF CAPITAL ADEQUACY (Article 63-66) 4
Chapter 11 - ASSESSMENT METHODOLOGY FOR THE CALCULATION OF OWN FUNDS REQUIREMENTS (Article 67-71) 5
Chapter 12 - ASSESSMENT METHODOLOGY FOR DATA MAINTENANCE (Article 72-75) 4
Chapter 13 - ASSESSMENT METHODOLOGY OF INTERNAL MODELS FOR EQUITY EXPOSURES (Article 76-82) 7
Chapter 14 - ASSESSMENT METHODOLOGY FOR MANAGEMENT OF CHANGES TO RATING SYSTEMS (Article 83-84) 2
Chapter 15 - FINAL PROVISION (Article 85) 1

Recital 21

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Recital 21

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(21)In all cases, the competent authorities should assess whether the institution has adopted sufficient margin of conservatism in their estimates of risk parameters. This margin of conservatism should take into account any identified deficiencies in data or methods used in the risk quantification and increased uncertainty that might result for example from the changes in the lending or recovery policies. Where an institution ceases to comply with the requirements for the IRB Approach, the competent authorities should verify whether it fulfils the requirement that the rating systems are corrected in a timely manner. The application of the margin of conservatism should not be used as an alternative to correcting the models and ensuring their full compliance with the requirements of Regulation (EU) No 575/2013.

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