meta_id 3250592

On June 18, 2026, the European Banking Authority (EBA) published its 2025 Reports on annual market and credit risk benchmarking exercises, assessing the consistency and reliability of banks' internal models across the European Union. The assessment highlights continued progress in modelling practices while identifying areas requiring supervisory attention as key regulatory reforms approach full implementation. For market risk, the EBA's benchmarking exercise covering 43 EU banks across 13 jurisdictions demonstrates tangible improvements in data quality and consistency. The assessment, presented in two dedicated reports covering the Internal Model Approach (IMA) and the Alternative Standardised Approach (ASA), shows reduced dispersion across asset classes and historically low variability in Value-at-Risk (VaR) metrics. However, higher dispersion persists in stressed VaR and Incremental Risk Charge calculations. The ASA continues strengthening as a more stable and comparable framework, with dispersion in the Sensitivities-Based Method declining to an average of 8 percent. Seven banks were flagged for further supervisory review. For credit risk, the benchmarking shows a stable overall picture with structural improvements linked to ongoing regulatory reforms. The share of Exposure at Default under the Internal Ratings Based approach has gradually declined in recent years, while the increase in approved material model changes across asset classes suggests implementation of the IRB roadmap is advancing. Over the 2015–2024 period, Probability of Default variability declined across several asset classes, while Loss Given Default variability remained broadly stable with a slight downward trend. The EBA's benchmarking exercises serve as key supervisory tools to assess consistency and comparability of internal models, supporting supervisory work and enhancing confidence in the regulatory framework. These exercises complement the EBA's broader roadmap to repair IRB models, a central pillar of the ongoing review of the IRB framework alongside Basel III reforms finalisation.

On June 18, 2026, the European Banking Authority (EBA) published its 2025 Reports on annual market and credit risk benchmarking exercises, assessing the consistency and reliability of banks' internal models across the European Union. The assessment highlights continued progress in modelling practices while identifying areas requiring supervisory attention as key regulatory reforms approach full implementation. For market risk, the EBA's benchmarking exercise covering 43 EU banks across 13 jurisdictions demonstrates tangible improvements in data quality and consistency. The assessment, presented in two dedicated reports covering the Internal Model Approach (IMA) and the Alternative Standardised Approach (ASA), shows reduced dispersion across asset classes and historically low variability in Value-at-Risk (VaR) metrics. However, higher dispersion persists in stressed VaR and Incremental Risk Charge calculations. The ASA continues strengthening as a more stable and comparable framework, with dispersion in the Sensitivities-Based Method declining to an average of 8 percent. Seven banks were flagged for further supervisory review. For credit risk, the benchmarking shows a stable overall picture with structural improvements linked to ongoing regulatory reforms. The share of Exposure at Default under the Internal Ratings Based approach has gradually declined in recent years, while the increase in approved material model changes across asset classes suggests implementation of the IRB roadmap is advancing. Over the 2015–2024 period, Probability of Default variability declined across several asset classes, while Loss Given Default variability remained broadly stable with a slight downward trend. The EBA's benchmarking exercises serve as key supervisory tools to assess consistency and comparability of internal models, supporting supervisory work and enhancing confidence in the regulatory framework. These exercises complement the EBA's broader roadmap to repair IRB models, a central pillar of the ongoing review of the IRB framework alongside Basel III reforms finalisation.