ECB’s Trim found 900 flaws with 31 banks’ market risk models

The European Central Bank identified 900 issues with the internal market risk models used by 31 banks through its years-long audit – of which over one-quarter were designated “high severity”. 

The ECB’s Targeted Review of Internal Models (Trim), which kicked off in 2016 and closed last year, identified 824 specific deficiencies with the in-house models for generating market risk capital requirements used by banks in scope of the exercise, plus additional problems following consistency checks