Author (Corporate) | European Parliament: European Parliamentary Research Service |
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Publisher | EU |
Series Title | In-Depth Analysis |
Series Details | June 2018 |
Publication Date | June 2018 |
ISBN | 978-92-846-3133-9 |
Content Type | Report |
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 Parliamentary Research Service published two separate reports called How demanding and consistent is the 2018 stress test design in comparison to previous exercises? in June 2018. + Vol.1 + credit risk Credit risk was assessed on the basis of the new IFRS 9 accounting standard. Market risk included a valuation of illiquid, hard-to-price level 2/3 financial instruments. Net interest income was assumed to suffer from an asymmetric increase in the rates earned on assets and paid on liabilities. Operating risk included conduct risk and took into account past loss events. This written advice highlighted some weaknesses in the EBA methodology, which might lead to a different degree of conservativeness for some business models or countries. It also discussed ways to make future stress tests more realistic and reliable, by addressing resource gaps and improving governance. + Vol.2 However, despite all the progress made in designing the exercise, there remained critical areas concerning the application of a static-balance sheet assumption, the underrepresentation of liquidity risk and the implications of the lack of a fail-pass threshold. Improvements in these areas could enhance reliability of stress test results and empower their role as external and internal communication tools. |
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Source Link | http://dx.publications.europa.eu/10.2861/536397 |
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Subject Categories | Business and Industry |
Countries / Regions | Europe |
Record URL | https://www.europeansources.info/record/?p=512203 |