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Title: What conclusions can be drawn from the EBA 2016 Market Risk Benchmarking Exercise?
Author: European Parliament: European Parliamentary Research Service
Publisher: EU, 2017
Series/Date: In-Depth Analysis October 2017
Source Origin: EU
Source Type: Report
ISBN: 978-92-846-1709-8
EC Number: QA-04-17-811-EN-N
Notes: 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 URL: http://dx.publications.europa.eu/10.2861/890617
Homepage URL: http://www.europarl.europa.eu/thinktank/en/home.html
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Keywords: European Banking Authority | EBA - Supervisory benchmarking study on internal models for market risk | MR - EU-wide stress tests - 2016 Market Risk Benchmarking Exercise
Subjects:  7.5.a - Financial services
Geographic Indicators:  European Union
 Eurozone
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