EBA research paper proposing a model-based approach to assess stress test scenario severity and bank resiliency, using Bayesian VAR on Italian macroeconomic and banking data to evaluate EBA stress test exercises (2014-2018) and measure resilience improvements under macroprudential frameworks.
EBA workshop paper by Banco de Portugal analysing a model-based approach to assess stress test severity and Italian banks' resilience, using probability-based severity metrics and the IBASE Bayesian VAR model to evaluate capital impact and credit market spillovers.
EBA 2019 workshop paper by Bank of England researchers simulating liquidity stress in derivatives markets, analysing risks from collateral calls, variation margin, and initial margin under market shocks and defensive actions.
European Systemic Risk Board presentation on simulating liquidity stress in derivatives markets – proposes a method to assess variation margin calls, liquidity shortfalls, and systemic contributions under stress scenarios, with policy implications for targeted interventions and structural reforms.
EBA 2019 research paper analysing determinants of bank liquidity in France, exploring interactions between market and regulatory requirements, liquidity shocks, and banks' ability to manage liquidity ratios amid solvency and funding risks.
EBA research paper analysing fire sale risks under solvency and liquidity constraints, presented at the 2019 EBA Policy Research Workshop by Bank of England and ESRB experts.
ECB analysis on fire sales under solvency and liquidity constraints, assessing deleveraging strategies, systemic impacts, and stress scenarios (LCR, leverage, capital ratios) based on BoE Working Paper #793, presented at EBA in 2019.
EBA Policy Research Workshop presentation by the Central Bank of Hungary on stress testing approaches under IFRS 9, covering expected loan loss provisioning, stage differentiation, and modeling challenges for banks under macroeconomic scenarios.
Analysis of IFRS 9's impact on loan loss provisions in the Central Bank of Hungary’s solvency stress test, highlighting immediate effects of adverse shocks and procyclical risks in banking sector stability.
ESRB and ETH Zürich research on reverse stress testing and fire sale modeling – presents methodology, scenario design, and empirical findings for European banks at the 2019 EBA Policy Research Workshop.
ECB draft paper on reverse stress testing – proposes an algorithmic methodology to design worst-case stress test scenarios, assessing bank vulnerabilities and systemic contagion risks from microprudential and macroprudential perspectives.
EBA research workshop paper presenting a stochastic optimization system for reverse stress testing in banks, focusing on identifying risk driver scenarios that breach regulatory capital thresholds like CET1 and TSCR, with application to the Italian banking sector and analysis of risk interactions.
EBA discussion paper by Edgar Löw on stochastic optimization systems for bank reverse stress testing, covering methodology, analysis logic, and key considerations in regulatory risk assessment.
EBA Workshop 2019 paper analyzing banks' strategic behavior under stress, introducing a stress test model with Basel III regulatory interactions, balance sheet dynamics, and systemic risk amplification or mitigation.
EBA 2019 policy research paper analysing banks' strategic behaviour under stress, assessing shock transmission, regulatory impacts (CCyB, CAR, LCR), and financial stability effects of oligopolistic structures and management actions in adverse conditions.
EBA workshop presentation by Prof. Rym Ayadi analysing the evolution of EU banking stress tests post-financial crisis, focusing on transparency, market confidence, and regulatory impacts on bank resilience and capital requirements.
Study by the Federal Reserve Board analysing how capital buffers from stress tests and Basel III CCyB impact bank lending, firm activity, and employment, using CCAR data and empirical approaches to assess regulatory effects.
Bank of Japan analysis at the 2019 EBA Policy Research Workshop examining how US Federal Reserve’s CCAR capital buffers impact bank lending and firm activity, assessing effects on debt, investment, and employment, and evaluating CCyB policy implications using stress-test results.
EBA 2019 workshop paper proposing a standardized framework for climate stress testing, focusing on transition risks in regulatory stress-tests, impact tolerance for economic decarbonization, and gaps in current supervisory approaches under Article 173.
The European Banking Authority (EBA) published today the second part of its advice on the implementation of Basel III in the EU, which complements the Report published on 5 August 2019. Today’s publication includes an assessment of the impact of the revisions to the credit valuation adjustment (CVA) and market risk frameworks, and the corresponding policy recommendations. It also provides a macroeconomic impact assessment of the full Basel III package. When accounting for the 2019 FRTB standards, the impact assessment shows that the full implementation of Basel III, under conservative assumptions, will increase the current minimum capital requirement (MRC) by 23.6% on average. This impact is lower than the 24.4% originally estimated in the August 2019 report, and would imply an aggregate shortfall in total capital of EUR 124.8 billion. The macroeconomic impact assessment shows that the implementation of Basel III will have net benefits for the economy of the European Union. The EBA reaffirms its support for a full implementation of the final Basel III standards in the EU.