Annex - Chart Pack from the 2019 Credit Risk Benchmarking Exercise.pdf
Annex - Chart Pack from the 2019 Credit Risk Benchmarking Exercise
Annex - Chart Pack from the 2019 Credit Risk Benchmarking Exercise
EBA Report results from the 2019 Credit Risk Benchmarking Report
EBA Report results from the 2019 Market Risk Benchmarking Report
CP on amended ITS on benchmarking of internal models
Consultation Paper on amended ITS on benchmarking of internal models
The European Banking Authority (EBA) launched today a consultation to amend the Commission's Implementing Regulation on benchmarking of internal models to adjust the benchmarking portfolios and reporting requirements in view of the benchmarking exercise it will carry out in 2021. On the credit risk side, the amended standards will allow to complement the analysis of credit risk models through the introduction of IFRS 9 templates and the collection of risk weighted exposure value (RWA) calculated under the Standardised Approach (SA) and hypothetical RWA calculated with empirical default rates. On the market risk side, the framework remains stable, with the consultation restricted to clarifications on the setting of reference dates and instruments/portfolios definitions. The consultation runs until 13 February 2020.
EBA Report results from the 2018 Credit Risk Benchmarking Report
EBA Report results from the 2018 Market Risk Benchmarking Report
The European Banking Authority (EBA) published today two reports on the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the calculation of capital requirements. The reports cover credit risk for high and low default portfolios (LDPs and HDPs), as well as market risk. The results confirm previous findings, with the majority of risk-weights (RWs) variability explained by fundamentals. These benchmarking exercises, conducted by the EBA on an annual basis are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restoring trust in internal models.
EBA Report results from the 2016 market risk benchmarking exercise - March 2017.pdf
Decision on Data for Supervisory Benchmarking (EBA DC 156)
Repealed by EBA DC 337
EBA Opinion on Commission amendments to ITS on benchmarking of internal approaches (EBA-Op-2016-09)
Technical Advice on benchmarking pursuant to Art 78(9) (EBA-Op-2015-04)