EBA discussion paper on machine learning for IRB models

On 11 November 2021, the European Banking Authority (EBA) published a discussion paper on machine learning for internal ratings-based (IRB) models.  The discussion paper is a first step to engage the industry and the supervisory community to investigate the possible use of machine learning as IRB models and to build up a common understanding of the general aspects of machine learning and the related challenges in complying with the regulatory requirements. In particular, the discussion paper discusses the relevance of possible obstacles to the implementation of machine learning models in the IRB model space based on certain practical issues including the use of data.

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