EBA-supported study analysing IFRS 9’s procyclical effects on bank loan allowances using a recursive model calibrated to European corporate loans, assessing frontloaded credit loss impacts on P/L and CET1 during economic downturns.
Analysis of euro area banks under the Single Supervisory Mechanism (SSM) assessing their stock price sensitivity to yield curve shifts—level, slope, and curvature—using the Bayesian DCC M-GARCH model, with findings on risk exposure linked to business models and balance sheet composition.
Final report on EBA Guidelines on the security measures for operational and security risks under PSD2 (EBA-GL-2017-17)
EBA Policy Research Workshop presentation on calibrating macroprudential policy using financial stability forecasts, proposing transition probabilities for countercyclical capital buffer (CCyB) decisions under a decision-theoretic framework.
EBA Policy Research Workshop presentation analysing how expected losses and managerial discretion influence countercyclical loan loss provisioning under the German Commercial Code (HGB), focusing on accounting choices and empirical findings from German banking data.
European Central Bank paper proposing a semi-structural model to estimate household credit gaps in 12 EU countries, improving early warning signals for financial crises by analyzing credit cycles, demographic trends, and macroprudential policy tools compared to Basel credit-to-GDP gaps.
EBA workshop presentation analysing IFRS 9’s cyclical effects on bank profitability, capital (CET1), and credit supply using a recursive model, assessing risks of procyclicality and potential policy responses.
Central Bank of Ireland presentation on developing an IFRS 9-compliant probability of default (PD) framework, focusing on Stage 2 provisioning for Irish mortgage balances and comparing PD trends with stress test methodologies.
Study by EBA-affiliated researchers analysing how expected losses and managerial discretion drive countercyclical loan loss provisioning in German banks under IFRS 9, covering procyclicality, earnings management, and tax-driven reserve practices.
2017 EBA Policy Research Workshop presentation by Giovanni Ferri and Valerio Pesic analysing regulatory arbitrage and profitability in European banks using IRB models, exploring the relationship between capital ratios and earnings through empirical research and methodology.
Study analysing how European banks using Advanced IRB models may engage in regulatory arbitrage by underreporting Risk Weighted Assets (RWAs) to boost profitability, with findings suggesting authorities should strengthen IRB model validation or reduce discretion under Basel III.
ECB economists present a semi-structural method for estimating credit gaps to assess excessive credit trends in EU households, discussed at the 2017 EBA Policy Research Workshop.
EBA 2017 workshop presentation analysing euro area banks' exposure to interest rate risk from yield curve swings, focusing on net interest income, net present value, and balance sheet sensitivity to rate changes.
EBA compliance table showing EU member states' adherence to Guidelines EBA/GL/2015/05 on asset separation tools under Directive 2014/59/EU, detailing national authorities' compliance status and implementation timelines.
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on Central Contact Points under the revised Payment Services Directive (PSD2). The RTS specify the criteria for determining when the appointment of a central contact point in a host Member State (MS) is appropriate and the functions that these contact points should fulfill. These RTS are in support of the objective of PSD2 of facilitating the supervision by competent authorities (CAs) of the networks of agents used by payment institutions (PIs) and electronic money institutions (EMIs) for providing cross-border payment services under the right of establishment.
European Banking Authority final report establishing regulatory technical standards for central contact points under PSD2, defining requirements for payment and electronic money institutions to ensure effective supervision across EU Member States.
The European Banking Authority (EBA) issued today a revised list of validation rules in its Implementing Technical Standards (ITS) on supervisory reporting, highlighting those which have been deactivated either for incorrectness or for triggering IT problems. Competent Authorities throughout the EU are informed that data submitted in accordance with these ITS should not be formally validated against the set of deactivated rules.
2017 July - September Q3 PMR