1. Targeted Internal Model Review
TRIM
Targeted Internal Model Review

2. TRIM - Targeted Review of Internal Models1 2 3
Objectives
Process
Results
Restore credibility, adequacy and appropriateness of Pillar 1 Models
Reduce non-risk variability of regulatory capital and promote consistency / comparability
Improve model risk management practices
19 NCAs, 67Banks, models, +500 people involved
60% Credit EAD, Market and Counterparty
15% of the SSM budget
100 in-depth on-site reviews plus horizontal coordination
Calendar
Ensure regulatory capital compliance & adequacy
Promote harmonisation and consistency
Reduce RWA Variability

3. Significant discrepancies did not reflect differences in risk profiles but resulted from different underlying definitions and certain modelling choices
EBA GL November 2017

4. TRIM Impact

5. TRIM - Open Debates 1 2 3 4 5 TRIM Process TRIM Scope Model Governance
Is it working?
Is it consistent?
Mission Accomplished?
TRIM Process
IRB models
VaR and Stressed VaR
Counterparty Risk Models
TRIM Scope
Enhancements in model risk management
Data quality
Model
Governance
CET1 Impact
Disclosures
Interaction with Basel IV and FRTB
Investor Expectations & Impact
Impact management
Conservative estimates
IRB Rollout & cost benefit analysis
Going Forward