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EBA Report results from the 2018 Credit Risk Benchmarking Report.pdf
EBA Report results from the 2018 Credit Risk Benchmarking Report
EBA Report results from the 2018 Market Risk Benchmarking Report.pdf
EBA Report results from the 2018 Market Risk Benchmarking Report
EBA releases its annual assessment of the consistency of internal model outcomes
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 2017 market risk benchmarking exercise.pdf
European Banking Authority report presenting results of the 2017 market risk benchmarking exercise, analysing VaR, stressed VaR, IRC, and APR metrics across participating banks to assess risk measurement consistency and supervisory practices under EU regulatory frameworks.
EBA Report results from the 2016 market risk benchmarking exercise - March 2017.pdf
EBA Report results from the 2016 market risk benchmarking exercise - March 2017.pdf
EBA DC 156 (Decision on Data for Supervisory Benchmarking).pdf
Decision on Data for Supervisory Benchmarking (EBA DC 156)
Repealed by EBA DC 337
EBA-Op-2016-09 EBA Opinion on Commission amendments to ITS on benchmarking of internal approaches.pdf
EBA Opinion on Commission amendments to ITS on benchmarking of internal approaches (EBA-Op-2016-09)
EBA-Op-2015-04 Technical Advice on benchmarking pursuant to Art 78(9).pdf
Technical Advice on benchmarking pursuant to Art 78(9) (EBA-Op-2015-04)