Europe’s New Supervisory Toolkit
First published:
ISBN: 9781782722069
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Risk Assessment in the EU
Piers Haben
Risk Assessment in the EU
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
The formal announcement that the Committee of European Banking Supervisors (CEBS) would become an Authority as part of the EU’s response to the financial crisis of 200811EU Council, 2010, “Council Approves Compromise with Parliament on Financial Supervision”, press release, September 7 (available at http://www.consilium.europa.eu/uedocs/cms_Data/docs/pressdata/en/ecofin/116303.pdf). significantly changed its role, giving it a new way of working, along with new resources and new legal powers. In many ways, the change made the European Banking Authority (EBA) – established in 2011 to take over CEBS’ ongoing tasks and responsibilities – a unique regulatory organisation in terms of its mandate, resources and powers for cross-border banking regulation and oversight. However, there are many aspects of the cross-border work of the EBA that do not depend on legal mandates or specific powers. Indeed, the steps that the EBA has undertaken steps to build a regional risk infrastructure and act as coordinator/ facilitator of cross-border supervision have relevance for any geographical or economic region where there is cross-border banking activity. A regional risk infrastructure can act as a
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