Introduction
Introduction
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
“We few, we happy few, we band of brothers”, Henry V
In 2013, Mazars, a consulting company, was commissioned by the European Parliament to assess the performance and effectiveness of the European supervisory authorities (ESAs) in the context of the then new EU supervisory architecture, established following the recommendations of the de Larosière’s group. Mazars delivered a comprehensive report covering the different areas of activity of the European Banking Authority (EBA), including the identification of vulnerabilities and risk assessment of EU banks. The report concluded that:
The frequency and quality of individual NCAs [national competent authorities’] market oversight work varies significantly within the EU. Although the EBA’s work is not equal in quality to the best-in-class produced at a member state level, it is considered of sufficient quality and frequency to add value to the risk assessment process within the [European System of Financial Supervisors]. It serves two important purposes. It facilitates discussion of risk amongst NCAs... Most important, it creates the opportunity for supervisory or policy responses where these would be merited.
Although some may
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