AI and Machine Learning for Credit Rating Models: Part IV - A brief overview of the EBA’s follow-up report on machine learning for IRB models
The EBA recently released its much-anticipated follow-up report to its 2021 consultation on using machine learning (ML) for IRB models. The principle-based recommendations remain largely unchanged and are welcomed by the industry. We summarise the key points of the report including what firms are using or intending to use ML for, as well as the need for firms to consider other legal frameworks when using ML. Finally, we conclude with our own approach to developing compliant "synthetic" ML models for prudential purposes and how they can be used to overcome some of the challenges of using ML.
Read our published briefing here.
If you missed our previous posts, please follow the links below:
Part I - A brief overview of the regulatory landscape
Part II - The foundations of machine learning
Part III - The power of machine learning
For more information or if you have any questions please contact:
Dr. Andreas Peter
+49 160 583 40 66
Dr. Tobias Kesselring
Fintegral Schweiz AG
+41 79 271 19 00
Fintegral UK Ltd.
+44 7496 363 298