Central Bank of Hungary research paper estimating demand in the Hungarian mortgage loan market using a conditional logit model on credit registry data, analyzing consumer choices, interest rate sensitivity, and constraints shaping borrowing decisions.
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
Report on the Cyclicality of Capital Requirements (EBA-Op-2016-24)
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)
Minutes
Consultation Paper on Guidelines on supervision of significant branches (EBA-CP-2016-24)
EBA Report on Covered Bonds (EBA-Op-2016-23)
Final Report on good Supervisory Practices for reducing mechanistic reliance on credit ratings (JC 2016 71)
EBA guidelines for commodity derivatives firms on data submission under the prudential framework review for investment firms, covering financial information, solvency, liquidity, and large exposures as required by CRR Articles 493, 498, and 508.
EBA December 2016 instructions for banks using IRB models to complete a qualitative survey assessing current modeling practices for PD and LGD under upcoming guidelines and regulatory technical standards (RTS) on credit risk.
Slides - Sorry we are closed by Diana Bonfim
Paper - Sorry we are closed by Diana Bonfim