A rationale of the PD floor under the IRB framework
EBA staff paper analyzing the rationale for Probability of Default (PD) floors under the Internal Ratings-Based (IRB) framework, focusing on Basel III reforms. Examines calibration methods, estimation errors in low-default portfolios, and regulatory impact on capital requirements for financial institutions and corporates.
Measuring economic distress using the contingent claims approach
EBA staff paper introducing an Economic Distress Index (EDI) using contingent claims analysis to monitor real-time financial stability risks in the euro area across all economic sectors, highlighting systemic risk contributions from banks and non-bank intermediaries since 1999.
Predicting bank distress in Europe: using machine learning and a novel definition of distress
EBA staff paper exploring machine learning techniques, including random forest and neural networks, to predict bank distress in Europe using a novel supervisory dataset (2017–2023) and early warning system for micro- and macroprudential supervision.
Financing the transition? Taking the temperature of European banks’ corporate loan books
EBA pilot study assessing European banks’ corporate loan portfolios for alignment with the Paris Agreement’s temperature targets, revealing average implied temperature rises of 3.7–4.1°C and proposing a methodology to measure financed emissions and transition risk under the CSRD framework.
Green-supporting factors, brown-penalising factors and the prudential framework
EBA staff paper analysing the theoretical trade-offs of green-supporting and brown-penalising factors in prudential regulation, assessing risks of misaligned lending incentives, double counting of risks, and potential distortions to financial stability under the current risk-based framework.
Runs, transparency and regulation: on the optimal design of stablecoin frameworks
EBA staff paper analysing stablecoin risks, focusing on run prevention through transparency and overcollateralization of reserve assets, assessing regulatory interventions and their impact on social welfare and investor behavior.
Staff paper - The Calibration of the IRB Supervisory Formula.pdf
Staff paper - The Calibration of the IRB Supervisory Formula
EBA Staff paper on the regulatory framework for market risk and prudent valuation.pdf
EBA Staff paper on the regulatory framework for market risk and prudent valuation during COVID19
EBA staff paper - Legal force of EBA Handbook.pdf
EBA staff paper - Legal force of EBA Handbook
A universal stress scenario approach for capitalising NMRF.pdf
A universal stress scenario approach for capitalising NMRF
Testing capacity of the EU banking sector to finance the transition to a sustainable economy.pdf
Testing capacity of the EU banking sector to finance the transition to a sustainable economy
Window dressing systemic importance.pdf
Window dressing systemic importance
The estimation risk and the IRB formula.pdf
EBA staff paper analysing estimation risk in the Internal Ratings-Based (IRB) approach under Basel II, proposing a correction method for probability of default bias to improve capital requirement accuracy and regulatory conservatism.