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HomeWhat conclusions can be drawn from the EBA 2016 market risk benchmarking exercise?
What conclusions can be drawn from the EBA 2016 market risk benchmarking exercise?
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The 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, I present 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, I discuss which followup actions ECON Members might consider.
- Published:
- Corporate author(s): Directorate-General for Internal Policies of the Union (European Parliament)
- Personal author(s): Breuer, Thomas
- Themes: Banks, insurance
- Subject: banking , banking policy , banking supervision , banking system , EU banking union , European Banking Authority , financial institution , market
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| ISSN | ISBN 978-92-846-1709-8 | DOI 10.2861/890617 | Catalogue number QA-04-17-811-EN-N |
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| ISSN | ISBN 978-92-846-1708-1 | DOI 10.2861/327841 | Catalogue number QA-04-17-811-EN-C |
- Released on EU Publications:
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