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Europe’s New Supervisory Toolkit
Data, Benchmarking and Stress Testing for Banks and their Regulators
Discipline: Regulation
No of pages: 470
First published:
ISBN: 9781782722069
Europe’s New Supervisory Toolkit contains the most up-to-date details of European supervisory reporting, explanations by senior regulators of the latest techniques for benchmarking of internal models and stress testing, a description of the tools, methods and practices used to assess financial stability in the EU banking sector, and best practice for co-operation among authorities and for transparency and disclosure.
This is a must-read for understanding banking supervision and risk assessment in a post-crisis world.
Contents
Foreword
Introduction
Risk Assessment in the EU
The Single EU Supervisory Reporting
The EU Harmonised Definition of Non-performing Exposures: Origins, Main Features and Possible Improvements
Towards Consistent and Effective Risk Indicators
Data Workflow: From Quality Checking to Risk Dashboards
EU-wide Stress Tests: Rationale and Basics
EU-Wide Stress Test: Methodology
Macrofinancial Scenarios for System-wide Stress Tests: Process and Challenges
Benchmarking of Credit Risk Models For Determining Own Funds Requirements
Benchmarking of Market Risk Models For Determining Own Funds Requirements
The Analysis of Funding Plans
Transparency and Market Discipline
Afterword: The Post-crisis Regulatory Regime and Bank Business Models