Targeted Review of Internal Models
From Open Risk Manual
Definition
Targeted Review of Internal Models (TRIM) denotes a broad exercise performed by European Banking regulators[1] aimed at enhancing the credibility and confirming the adequacy and appropriateness of approved Pillar I internal models permitted for use by significant institutions when calculating own funds requirements
TRIM Components
Establish Compliance with regulatory requirements related to internal models, through an assessment based on the
- Capital Requirements Regulation (CRR)
- the Capital Requirements Directive (CRD IV)
- relevant Commission Delegated Regulations and Commission Implementing Regulations
- regulatory technical standards (RTS)
- European Banking Authority (EBA) guidelines, and
- the approved European Central Bank (ECB) Banking Supervision manuals and guidelines
Reduction of unwarranted variability in RWA as it relates to internal model outcomes, taking into account
- the results of benchmarking
- delivering interpretations of the CRR and
- addressing current gaps in interpretation of regulations relating to internal models, in situations where significant modelling issues contributing to unwarranted variability have been identified.
References
- ↑ ECB guide to internal models − Credit risk, Sep 2018