pillar1_market_risk--2009.xls
Data related to market risk - 2009
Data related to market risk - 2009
Data related to market risk - 2011
Data related to market risk - 2008
The European Banking Authority launches today two consultation papers on draft Regulatory Technical Standards (RTS) to define (i) the term market for the purpose of calculating the ‘general’ component of market risk for equities under the standardised rules; and (ii) a range of methods to reflect in the own funds requirements non-delta risks for options and warrants. The consultation of both draft RTS runs until 31 August 2013.
The European Banking Authority (EBA) launches today a consultation on draft technical standards (RTS) aimed at specifying the conditions for assessing the materiality of extensions and changes to internal approaches when calculating own funds requirements for credit, market and operational risk. These RTS will be part of the Single rulebook aimed at enhancing regulatory harmonisation in Europe. The consultation runs until 11 June 2013.
EBA consultation papers on guidelines to the Incremental Default and Migration Risk Charge (IRC) and on guidelines to Stressed VaR
The EBA published today two sets of Guidelines on Stressed Value-At-Risk (Stressed VaR) and on the Incremental Default and Migration Risk Charge (IRC) modelling approaches employed by credit institutions using the Internal Model Approach (IMA).
The EBA published today two sets of Guidelines on Stressed Value-At-Risk (Stressed VaR) and on the Incremental Default and Migration Risk Charge (IRC) modelling approaches employed by credit institutions using the Internal Model Approach (IMA).
European Banking Authority Consultation Paper - Consultation Paper on draft Regulatory Technical Standards (RTS) on non-delta risk of options in the standardised market risk approach (EBA/CP/2013/16)
European Banking Authority Consultation Paper - Consultation Paper on draft Regulatory Technical Standards (RTS) on the definition of market (EBA/CP/2013/15)
EBA consultation papers on guidelines to the Stressed Value At Risk (Stressed VaR)
The European Banking Authority (EBA) published today a discussion paper presenting its preliminary views on the application of prudent valuation requirements to all positions that are measured at fair value, as provided for under Articles 31 and 100 of the draft Capital Requirements Regulation (CRR). It also sets the EBA’s preliminary view on how valuation adjustments could in practice be applied by institutions in a consistent manner.
PH on draft RTS on the conditions for assessing the materiality of extensions and changes - Registration form
European Banking Authority Consultation Paper - Consultation Paper on draft Regulatory Technical Standards (RTS) on the conditions for assessing the materiality of extensions and changes of internal approaches when calculating own funds requirements for credit, market and
operational risk (EBA/CP/2013/02)
BSG response to Discussion Paper (EBA/DP/2012/03)-14 January 2013
Response to European Banking Authority Discussion Paper - Bank of America Merrill Lynch response to Discussion Paper relating to draft Regulatory Technical Standards on prudent valuation under Article 100 of the draft Capital Requirements Regulation (EBA DP 2012 03)