EBA report : Counterparty Credit Risk (internal model method and credit valuation adjustment) benchmarking exercise

This report presents the results of the supervisory benchmarking study pursuant to Article 78 of CRD and the related draft technical standards on the internal approaches applied for Counterparty Credit Risk (CCR) and Credit Valuation Adjustment (CVA) risk. In particular it focuses on the Internal Model Methods (IMM, disciplined by Section 6 ‘Internal Model Method’ of Part 3, Title II, Chapter 6 of the Regulation (EU) No 575/2013 (CRR)) and the Credit Valuation Adjustment (CVA, disciplined by Part 3, Title VI ‘Own funds requirements for Credit Valuation Adjustment Risk’ of the CRR).