Data_related_to_market_risk-2012.xls
Data related to market risk - 2012
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EBA publishes final draft technical standards on market risk and CVA risk
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on the definition of market and its final draft RTS on Credit Valuation Adjustment risk (CVA risk). The latter is supplemented by an Opinion on CVA risk which further elaborates on the approach taken by the EBA in determining a proxy spread. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).
EBA-Op-2013-04 (Final Opinion on CVA).pdf
Opinion of the European Banking Authority - Opinion on Credit Valuation Adjustment risk for the determination of a proxy spread (EBA/Op/2013/04)
EBA-RTS-2013-16 (Final draft RTS on the Definition of market).pdf
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on the definition of market (EBA/RTS/2013/16)
EBA-RTS-2013-17 (Final draft RTS on CVA).pdf
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on credit valuation adjustment risk for the determination of a proxy spread and the
specification of a limited number of smaller portfolios (EBA/RTS/2013/17)
EBA publishes final draft technical standards on market risk
The European Banking Authority (EBA) published today final draft Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS) related to market risk. In particular, the EBA published (i) RTS on the definition of materiality thresholds for specific risk in the trading book; (ii) ITS on closely correlated currencies; (iii) RTS on non-delta risk of options in the standardised market risk approach; and (iv) ITS on appropriately diversified indices. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).
EBA-ITS-2013-09 (Draft final ITS on closely correlated currencies).pdf
European Banking Authority Technical Standards - Final draft Implementing Technical Standards (ITS) on closely correlated currencies (EBA/ITS/2013/09)
EBA-ITS-2013-10 (Diversified indices).pdf
European Banking Authority Technical Standards - Final draft Implementing Technical Standards (ITS) on appropriately diversified indices (EBA/ITS/2013/10)
EBA-RTS-2013-14 (Materiality Threshold).pdf
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on the definition of materiality thresholds for specific risk in the trading book (EBA/RTS/2013/14)
EBA RTS 2013 13 (Draft final RTS on non-delta risks for option).pdf
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on non-delta risk of options in the standardised market risk approach (EBA/RTS/2013/13 )
EBA publishes final draft technical standards on conditions for assessing materiality of extensions and changes of internal approaches for credit and operational risk
The European Banking Authority (EBA) published today its final regulatory technical standards (RTS) specifying the conditions for assessing the materiality of extensions and changes of internal approaches for credit and operational risk. These RTS will be part of the Single rulebook aimed at enhancing regulatory harmonisation in Europe.
EBA Risk Dashboard - Q3 2013.pdf
EBA Risk Dashboard - Q3 2013
EBA Risk Dashboard Interactive Tool.xlsx
EBA Risk Dashboard Interactive Tool
Consultation on draft Regulatory Technical Standards (RTS) on the definition of materiality thresholds for specific risk in the trading book
Consultation on draft Regulatory Technical Standards (RTS) on prudent valuation
Revised FAQs on Prudent Valuation QIS
The European Banking Authority (EBA) published today an updated list of FAQs on the Prudent Valuation Quantitative Impact Study (QIS). Changes and/or clarifications to the FAQs are marked in red in the excel file.
Barclays.pdf
European Banking Authority Consultation Paper related material - Response from Barclays (EBA/CP/2013/16)
German Banking Industry Committee (GBIC).pdf
European Banking Authority Consultation Paper related material - Response from German Banking Industry Committee (GBIC) (EBA/CP/2013/16)
Federation Bancaire Francaise (FBF).pdf
Responses to consultation
WKO.pdf
European Banking Authority Consultation Paper related material - Response from WKO (EBA/CP/2013/15)