11 December 2009
The Committee of European Banking Supervisors (CEBS) today publishes its draft revised guidelines on aspects of the management of concentration risk under the supervisory review process. The consultation is open to all interested parties, including supervised institutions and other market participants.
The draft revised guidelines update the Guidelines on technical aspects of the management of concentration risk under the supervisory review process published on 14 December 2006 and complement the principles set out in the CEBS's Guidelines on the application of the supervisory review process (GL03).
Building upon the lessons drawn from the financial crisis, CEBS's draft revised guidelines follow a holistic approach which aims at ensuring sound overall concentration risk management, meaning that institutions are expected to identify and assess all aspects of concentration risk, moving further away from the traditional analysis related only to credit risk.
In the draft revised guidelines CEBS is taking a broader approach to concentration risk management and suggests that it is not sufficient to analyse concentration risk only within a risk type (intra-risk analysis), but that analysis of concentration risk across risk types (inter-risk analysis) is also necessary, including credit, market, operational and liquidity risks.
The guidelines set out in this paper build upon CEBS's Guidelines on the Application of the Supervisory Review Process under Pillar 2 and should be read together with CEBS's Guidelines on the revised large exposures regime, and CEBS's High level principles for risk management.
CEBS submits its draft revised guidelines for a public consultation which begins today and closes on 31 March 2010. Comments received will be published on CEBS's website unless respondents request otherwise. Please send your comments to the following email address: firstname.lastname@example.org.
A public hearing will be held on 12 March 2010 at CEBS's premises in London, from 10:00 to 13:00 to allow interested parties to share their views with CEBS.
Franca Rosa Congiu