Factsheets

Joint final draft RTS on various amendments to the bilateral margin requirements in view of the international framework

Joint statement on introduction of fallbacks in OTC derivative contracts and the requirement to exchange collateral

Bank of England working paper introducing a model to simulate stress scenarios in the UK’s market-based finance system, focusing on interactions among broker-dealers, banks, investment funds, and insurers under solvency and liquidity constraints to assess systemic risk and fire-sale dynamics.

EBA-aligned research paper introducing Deep-Stress, a deep learning framework for dynamic balance sheet stress testing, improving Capital Adequacy Ratio forecasting accuracy by capturing non-linear macro-financial relationships and enhancing early warning systems for banking resilience.

EBA-linked paper explores applying the Pre-Commitment Approach (PCA) to bottom-up bank stress tests to mitigate moral hazard, proposing monetary penalties for underestimated risk forecasts under adverse scenarios, aligning bank and supervisor incentives.

Study assessing the severity of EBA 2016 and 2018 macroeconomic stress test scenarios for Italy using a joint probability approach, revealing low likelihood (0.15%–0.50%) and identifying key variables through reverse stress tests under Prometeia’s macro-econometric model.

EBA-aligned study proposing a model-based approach to assess stress test scenario severity and Italian banks' resilience using Bayesian VAR, analyzing GDP, market rates, and credit impact from 2014–2018 exercises to evaluate macro-financial spillovers and risk management improvements.

EBA-supported study analysing how French banks adjust liquidity and balance sheet structures under Basel III’s LCR, examining interactions between solvency, funding liquidity, and market liquidity during crises, with policy implications for regulatory frameworks.

Bank of England working paper analysing fire sales under solvency and liquidity constraints, modelling banks' asset liquidation strategies under leverage, risk-weighted capital, and liquidity coverage ratios to assess systemic risk and contagion effects in the UK banking system.

Analysis by the Central Bank of Hungary on modeling loan loss provisions under IFRS 9 for solvency stress tests – examines expected loss forecasting, stage transitions, and procyclical impacts on the Hungarian banking sector’s corporate portfolio.

Academic paper presenting a stochastic optimization system for bank reverse stress testing, enabling identification of critical risk factor combinations leading to default. Covers methodology, Monte Carlo simulation, Pillar 2 risks (sovereign, reputational, interest rate), liquidity-solvency interlinkage, and application to Italian banking sector under EBA/ICAAP/SREP frameworks.