EBA workshop presentation by Prometeia analysing the sustainability of European banks' business models, covering regulatory frameworks, data methodology, performance analysis, and peer group identification under 21st-century challenges.
ECB discussant Klaus Düllmann presents findings on mortgage risk specialization under Basel II, analyzing how IRB models influence bank pricing, loan portfolio shifts, and regulatory cost pass-through at the 2016 EBA Policy Research Workshop.
EBA Research Workshop 2016 presentation by Massimiliano Rimarchi analysing key drivers of peer-to-peer lending expansion in US counties, including bank weakness, market structure, and socio-economic factors, based on Prosper and Lending Club data.
Study analysing how Basel II’s internal models vs. standardised approach for mortgage risk weights led to risk specialisation and systemic concentration of high-risk mortgages in UK lenders with less sophisticated risk management, impacting capital framework design.
EBA workshop presentation analysing how competition among Norwegian banks influences loan portfolio risk-taking over 23 years, assessing stability impacts and franchise value effects under the competition-fragility hypothesis.
EBA guidelines specifying corrections to modified duration calculations for debt instruments under Regulation (EU) 575/2013 to account for prepayment risk, applicable to competent authorities and financial institutions for own funds requirements under the standardized approach.
Letter to O Guersent, re Request for revised deadlines in the CRR for the delivery of draft technical standards
The European Supervisory Authorities (ESAs) have published their response to the European Commission on the amendments the Commission proposes to make to the draft regulatory technical standards (RTS) on key information documents (KIDs) for packaged retail and insurance-based investment products (PRIIPS).
Report on the Cyclicality of Capital Requirements (EBA-Op-2016-24)
The European Banking Authority (EBA) published today its Report on cyclicality of banks’ capital requirements aiming at clarifying whether risk-sensitive bank capital requirements as laid down in the Capital Requirements Regulation (CRR) and Capital Requirements Directive (CRD) create unintended pro-cyclical effects by reinforcing the endogenous relationships between the financial system and the real economy. This report, which has been drafted in close cooperation with the European Systemic Risk Board (ESRB) and the European Central Bank (ECB) is in response to a request by the European Commission to understand whether CRDIV/CRR requirements exert significant effects on the economic cycle and, if so, whether any remedial measures are justified. In addition, this Report may inform the European Commission’s currently ongoing reviews of the EU micro- and macro-prudential frameworks and could serve as a valuable complementary contribution to the global discussions about the bank capital regulatory framework.
The European Banking Authority (EBA) launched today a data collection for commodity derivatives firms that will support the European Commission in the calibration of the new prudential regime for investment firms. This exercise follows up on the consultation the EBA launched on 4 November 2016 in response to the European Commission's call for technical advice on the design of a new prudential regime for investment firms, including the extent to which the new regime would also be suitable for or adaptable to specialised commodity derivatives firms.
EBA Decision EU-wide stress test in 2017 (EBA-2016-D-1062)
EBA report on liquidity measures and the review of the phase-in of the liquidity coverage requirement (EBA-Op-2016-22)
In its meeting on 6 December 2016, the Board of Supervisors of the European Banking Authority (EBA) decided to carry out its next EU-wide stress test in 2018, in line with its previous decision to aim for a biennial exercise. The EBA will start immediately to prepare the methodology for the 2018 stress test exercise, which will also include an assessment of the impact of IFRS 9, which will be implemented on 1 January 2018. This decision has been communicated to the European Parliament, the Council and the Commission. In 2017, the EBA will perform its regular annual transparency exercise.