The EBA is required, in cooperation with the European Systemic Risk Board (ESRB), to initiate and coordinate Union-wide stress tests to assess the resilience of financial institutions to adverse market developments
In this regard, the EBA published on November 2015 the draft methodology and templates to be considered in the EU-wide stress test to be carried out from late-February 2016.
The objective of the 2016 EU-wide stress test methodology is to provide a common analytical framework to consistently compare and assess the resilience of EU banks to shocks and to challenge the capital position of EU banks.
The exercise is based on a common methodology internally consistent and relevant scenarios, and a set of templates to capture starting point data and stress test results to allow a rigorous assessment of the banks in the sample.
The technical note prepared by Management Solutions’ R&D department analyzes and summarizes the main aspects, methodology and templates of the EU-wide stress test to be carried out from late-February 2016.
The 2016 stress test will use a bottom-up static balance sheet approach and a common baseline and adverse scenario although, unlike 2014 stress test, this is not a pass-fail exercise.
Scope of application:
The stress test will cover 53 EU banks (39 from SSM countries), which broadly cover 70% of the national banking sector in each EU Member State and Norway.
Download the technical note by clicking here.
Latest technical notes released:
|Stress testing in the UK banking system: 2018 results|
|Final Guidelines on ICAAP and ILAAP information collected for SREP purposes / Supervisory expectations and Final Guides to the ICAAP and ILAAP|
|Guide to the Targeted Review of Internal Models (TRIM) – General aspects|
|2018 Stress test results|
|Status update on TRIM – General topics and credit risk review|
© GMS Management Solutions, S.L., 2019. All rights reserved. The information contained on this publication is of a general nature and does not constitute a professional opinion or an advisory service. The data used in this publication come from public sources. GMS Management Solutions, SL assumes no liability for the veracity or accuracy of such data.