14 December 2009
The Committee of European Banking Supervisors (CEBS) today publishes the draft of its revised Guidelines on stress testing for consultation. The consultation is open to all interested parties, including supervised institutions and other market participants.
The revised guidelines update the Guidelines on Technical Aspects of Stress Testing under the Supervisory Review Process that were published on 14 December 2006 and complement the principles set out in the CEBS's Guidelines on the Application of the Supervisory Review Process under Pillar 2.
The revised guidelines draw on the experience that supervisors have obtained by reviewing institutions' stress tests in recent years, and take account of the revised principles for sound stress testing practices and supervision published by the Basel Committee of Banking Supervision (BCBS).
Given the experience gathered during the financial crisis, the guidelines are designed to assist institutions and supervisors in achieving robust, methodologically sound outputs that are effective in identifying risks and their potential mitigants during stressed conditions and their overall impact on an institution.
The guidelines aim to assist institutions in designing and implementing stress testing programmes with a robust governance structure, meaningful senior management engagement and an effective infrastructure, including information technology, data handling and skilled human resources. The revised guidelines also provide assistance to supervisors in their assessments of institutions' stress testing. It is intended that the guidelines should be implemented by institutions proportionately, having regard to the nature, scale, and complexity of the activities of the institution concerned.
The revised guidelines are designed to be as practical as possible and aim to identify the relevant "building blocks" in an effective stress testing programme.
The revised guidelines are supplemented by a number of annexes that focus on the stress testing of specific risks (market risk, securitisation, credit risk, operational risk, interest rate risk in the banking book, and concentration risk).
CEBS submits these 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: email@example.com.
A public hearing will be held on 10 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