How demanding and consistent is the 2018 stress test design in comparison to previous exercises?
The 2018 EU-wide stress test requires banks to evaluate the impact on profits and capital of common macroeconomic scenarios for 2018-2020. The methodology set up by the EBA addresses four main sources of uncertainty: credit risk, market risk, financial risks on net interest income and operational risk. Credit risk is assessed on the basis of the new IFRS 9 accounting standard. Market risk includes a valuation of illiquid, hard-to-price level 2/3 financial instruments. Net interest income is assumed to suffer from an asymmetric increase in the rates earned on assets and paid on liabilities. Operating risk includes conduct risk and takes into account past loss events. This written advice highlights some weaknesses in the EBA methodology, which may lead to a different degree of conservativeness for some business models or countries. It also discusses ways to make future stress tests more realistic and reliable, by addressing resource gaps and improving governance.
Analyse approfondie
Auteur externe
Andrea Resti
À propos de ce document
Type de publication
Domaine politique
Mot-clé
- analyse économique
- analyse économique
- Autorité bancaire européenne
- contrôle bancaire
- essai
- FINANCES
- institutions de l'Union européenne et fonction publique européenne
- institutions financières et crédit
- PRODUCTION, TECHNOLOGIE ET RECHERCHE
- prévision économique
- technologie et réglementation technique
- union bancaire de l’UE
- UNION EUROPÉENNE
- ÉCONOMIE
- économie monétaire
- établissement de crédit