ECB Guide to Internal Models
The Guide explains how the ECB interprets applicable EU and national law on internal models, creating a level playing field across significant institutions directly supervised by European banking supervision. It was originally developed through TRIM, a large-scale project (2016-2021) combining detailed methodological work with roughly 200 on-site internal model investigations at 65 institutions, and covers credit risk, market risk, and counterparty credit risk models along with general model governance topics.
The ECB Guide to Internal Models sets out European banking supervision's expectations for how significant institutions use internal models to calculate regulatory capital for credit, market, and counterparty credit risk. Developed through the 2016-2021 Targeted Review of Internal Models (TRIM) project, it was most recently revised in July 2025 to reflect CRR3 and updated machine-learning expectations.
- Issuing body
- European Central Bank (Banking Supervision)
- Official reference
- www.bankingsupervision.europa.eu/activities/internal_models/
What it covers
- Credit risk chapter: expectations on internal ratings-based approaches, default definitions, and risk parameter estimation, aligned to CRR3
- Market risk chapter: expectations under both CRR2 and CRR3 frameworks, reflecting phased implementation timelines
- Counterparty credit risk chapter: expanded modeling details for trade risks and exposure changes
- General topics chapter: cross-cutting model governance expectations
- 2025 revision adds explicit expectations that models using machine learning techniques are adequately explainable and that their performance justifies their added complexity
Adoption status
The ECB published a revised edition of the Guide on July 28, 2025, incorporating updates under the Capital Requirements Regulation 3 (CRR3) and the revised Basel framework, and adding clarified expectations on machine learning use in internal models. It remains current ECB supervisory guidance as of this site's publication date and applies to significant institutions directly supervised by the ECB under the Single Supervisory Mechanism.
Reference only. This page explains what ECB Guide covers; it is not a claim that Model Risk Directory or any listed vendor satisfies it. Verify alignment directly against the issuing body's own current text before relying on it.
Sources. source 1 · source 2 · source 3. Data as of 2026-07. See methodology.