Factsheets
Annex 6 (Market risk template reporting instructions).pdf
European Banking Authority (EBA) reporting instructions for market risk supervisory benchmarking portfolios under CRR, detailing templates for initial market valuation, VaR, sVaR, profit & loss time series, IRC, and correlation trading models.
Consultation Paper on RTS on risk retention (EBA-CP-2017-22).pdf
Consultation Paper on RTS on risk retention (EBA-CP-2017-22)
Consultation Paper on RTS on homogeneity of underlying exposures in securitisation (EBA-CP-2017-21).pdf
Consultation Paper on RTS on homogeneity of underlying exposures in securitisation (EBA-CP-2017-21)
EBA BS 2017 436 (2018 Budget).pdf
European Banking Authority (EBA) 2018 budget request and establishment plan – details revenue sources, expenditure breakdown, staffing levels, and financing decisions under EU financial regulations for approval by the Board of Supervisors.
EBA BS 2017 436 (Annex I - EBA 2018 Budget).pdf
European Banking Authority (EBA) 2018 budget detailing revenue sources—including contributions from EU national authorities, EU funding, and fees—and expenditure breakdowns such as staff costs, under Regulation (EU) No 1093/2010.
EBA Opinion on macroprudential measures (EBA-Op-2017-15).pdf
EBA Opinion on measures in accordance with Article 458 (EBA-Op-2017-15)
Final Report on final draft RTS and ITS on EBA Register under PSD2 (EBA-RTS-2017-10) (EBA-ITS-2017-07).pdf
Final Report on final draft RTS and ITS on EBA Register under PSD2 (EBA-RTS-2017-10) (EBA-ITS-2017-07)
Session 3 - Assessing the Cyclical Implications of IFRS9 - A Recursive Model - J. Abad, J. Suarez.pdf
EBA-supported study analysing IFRS 9’s procyclical effects on bank loan allowances using a recursive model calibrated to European corporate loans, assessing frontloaded credit loss impacts on P/L and CET1 during economic downturns.
Session 1 - Euro area banks Interest Rate Risk exposure - D. Foos, E. Luetkebohmert, M. Markovych, K. Pliszka.pdf
Analysis of euro area banks under the Single Supervisory Mechanism (SSM) assessing their stock price sensitivity to yield curve shifts—level, slope, and curvature—using the Bayesian DCC M-GARCH model, with findings on risk exposure linked to business models and balance sheet composition.
Final report on EBA Guidelines on the security measures for operational and security risks under PSD2 (EBA-GL-2017-17).pdf
Final report on EBA Guidelines on the security measures for operational and security risks under PSD2 (EBA-GL-2017-17)
Session 5 - Slides - S. Brave, J.A. Lopez.pdf
EBA Policy Research Workshop presentation on calibrating macroprudential policy using financial stability forecasts, proposing transition probabilities for countercyclical capital buffer (CCyB) decisions under a decision-theoretic framework.
Session 3 - Slides - A. Pfingsten et al..pdf
EBA Policy Research Workshop presentation analysing how expected losses and managerial discretion influence countercyclical loan loss provisioning under the German Commercial Code (HGB), focusing on accounting choices and empirical findings from German banking data.
Session 4 - Semi-Structural Credit Gap Estimation - J. H. Lang, P. Welz.pdf
European Central Bank paper proposing a semi-structural model to estimate household credit gaps in 12 EU countries, improving early warning signals for financial crises by analyzing credit cycles, demographic trends, and macroprudential policy tools compared to Basel credit-to-GDP gaps.