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Consultation Paper draft RTS on the method for identifying the main risk driver of a position and for determining whether a transaction represents a long or a short position
EBA consults on draft Regulatory Technical Standards under CRR (EU) No 575/2013 to define methods for identifying the main risk driver of a position and classifying transactions as long or short positions, aiming to standardize risk assessment in banking.
List of EU regional governments and local authorities treated as exposures to central governments under Article 115(2) of Regulation (EU) 575/2013
Public hearing on Regulatory Technical Standards on the allocation of off-balance sheet items and UCC considerations
EBA publishes annual assessment of banks’ internal approaches for the calculation of capital requirements
The European Banking Authority (EBA) today published its 2023 Reports on the annual market and credit risk benchmarking exercises. These exercises aim at monitoring the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the calculation of capital requirements. Regarding market risk, for the majority of participating banks, the results confirm a relatively low dispersion in the initial market valuation (IMVs) of most of the instruments, and a decrease in the dispersion in the value at risk (VaR) submissions compared to the previous exercise. For credit risk, the variability of RWAs remained stable compared with the previous year, but for some asset classes a reduction could be observed in a longer perspective.
EBA Report results from the 2023 Credit Risk Benchmarking Exercise
EBA 2023 report analysing variability in own funds requirements under the IRB approach, assessing credit risk parameters (PD, LGD), IRB roadmap implementation, and benchmarking results across European banks.