Banking Supervision

Validation of internal models

This page presents the objectives, criteria, schedule and basic documentation corresponding to the implementation of advanced risk management models in Spain, within the framework of the supervisory transparency policy of the Banco de España.

It also explains the validation processes that entities must carry out in order for these models to serve as a basis for calculating minimum capital requirements.

Finally, we describe the Banco de España's outlook on development and collaboration between the different supervision authorities of the active international financial groups.

This page will be updated with regard to changes in the Banco de España's position, additional criteria or changes to current or future documents.

Initial document on implementation and validation

The document is divided into three sections:

  • The first section refers to the process for implementing and validating advanced approaches for calculating minimum capital requirements for credit, market and operational risk in Spain.
  • The second section refers to the collaboration required between supervisors.
  • The third section includes, as appendices, the most relevant documents designed by the Banco de España to systematise and streamline validation processes and monitoring of advanced measurement and risk management models.
  • Document: "Implementation and validation of Basel II advanced approaches in Spain File PDF: Opens in a new window (1 MB)

Updates and validation documents

Includes documents that update or supplement the contents of the initial document.

Updated appendices and supplementary documents

It includes, individually, the appendices of the working papers that must be completed by those entities that intend to calculate their minimum capital requirements using this type of approach (these contents will be fully updated whenever the Banco de España deems it necessary to introduce changes in any of these) and various supplementary documents.