Publications

EBA instructions for credit risk reporting under supervisory benchmarking portfolios – detailing requirements for low and high default portfolios, internal model definitions, and exposure classifications under CRR and Implementing Regulation (EU) No 680/2014.

EBA guidelines on ICT risk assessment under the Supervisory Review and Evaluation Process (SREP) – compliance status and implementation approaches by EU national competent authorities as of 2022.

EBA Annex II defines supervisory benchmarking portfolios for credit risk, detailing low and high default portfolio classifications, counterparty identification, exposure types, and regulatory approaches under IRB frameworks for EU banking supervision.

European Banking Authority (EBA) annex detailing market risk benchmarking instruments and portfolios under EU Regulation 575/2013 (CRR), including valuation rules, risk calculation methods, and submission requirements for banks in the 2018 exercise.

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)

Consultation Paper on RTS on homogeneity of underlying exposures in securitisation (EBA-CP-2017-21)

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.

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.

Minutes

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)

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.

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.