What conclusions can be drawn from the EBA 2016 Market Risk Benchmarking Exercise?

Author (Corporate)
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Series Details October 2017
Publication Date October 2017
ISBN 978-92-846-1709-8
EC QA-04-17-811-EN-N
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Please note: Each In-Depth Analysis is assigned a DOI (digital object identifier), which is a safe and long term way of ensuring a hyperlink to the full text of this report. However, when ESO creates this record, on occasion the DOI still has not been activated by the EU Bookshop. If you find the source url hyperlink does not work please use the alternative location hyperlink listed as a related url.The European Banking Authority (EBA) benchmarking exercise shows strong disagreement between different banks both about the value and about the risk of hypothetical test portfolios. If the results of the EBA benchmarking study are correct, and as far as the test portfolio instruments are representative, the internal market risk models currently used by European banks would strongly violate the Level Playing Field Principle ('If different banks hold the same portfolio, they should be required to hold the same amount of regulatory capital').

In this analysis, the author presents the EBA results in a non-technical language, and assess the robustness and validity of the study itself, highlighting problematic issues in EBA’s methodological approach. Furthermore, the author discusses which follow-up actions European Parliament's ECON Committee Members might consider.

Source Link Link to Main Source http://dx.publications.europa.eu/10.2861/890617
Related Links
European Parliament: European Parliamentary Research Service: In-Depth Analysis, October 2017: What conclusions can be drawn from the EBA 2016 Market Risk Benchmarking Exercise? http://www.europarl.europa.eu/RegData/etudes/IDAN/2017/602103/IPOL_IDAN(2017)602103_EN.pdf
EBA: Report, March 2017: Report from the 2016 Market Risk Benchmarking Exercise https://www.eba.europa.eu/documents/10180/15947/EBA+Report+results+from+the+2016+market+risk+benchmarking+exercise+-+March+2017.pdf

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