European Banking Authority (EBA) reporting instructions for market risk supervisory benchmarking portfolios under CRR, detailing templates for initial market valuation, VaR, sVaR, profit & loss time series, IRC, and correlation trading models.
Consultation Paper on RTS on risk retention (EBA-CP-2017-22)
Consultation Paper on RTS on homogeneity of underlying exposures in securitisation (EBA-CP-2017-21)
European Banking Authority (EBA) 2018 budget request and establishment plan – details revenue sources, expenditure breakdown, staffing levels, and financing decisions under EU financial regulations for approval by the Board of Supervisors.
European Banking Authority (EBA) 2018 budget detailing revenue sources—including contributions from EU national authorities, EU funding, and fees—and expenditure breakdowns such as staff costs, under Regulation (EU) No 1093/2010.
Minutes
EBA Opinion on measures in accordance with Article 458 (EBA-Op-2017-15)
Final Report on final draft RTS and ITS on EBA Register under PSD2 (EBA-RTS-2017-10) (EBA-ITS-2017-07)
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.
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.
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.