EBA EU-wide Stress Test 2027
The European Banking Authority has recently published the preliminary methodology and templates for the upcoming EBA stress test exercise, which will commence in January 2027 and conclude with the publication of the results in July 2027.
EBA EU-wide Stress Test 2027
This exercise plays a key role in the supervisor’s determination of Pillar 2 capital requirements.
The next exercise will be particularly challenging for the industry due to the exercise’s early alignment with the forthcoming Supervisory Reporting Framework. This alignment entails a comprehensive review of the templates and segmentations used, the introduction of a specific climate risk module covering both transition and physical risks, as well as the adaptation of certain market risk areas to the FRTB framework. The final methodology is expected to be published in November 2026.
The exercise will cover 63 banks across the EU and Norway, including 47 banks from the euro area, representing approximately 75% of the EU banking sector.
Management Solutions’ value proposition focuses on providing support both during the preparation phase ahead of the exercise (September to December 2026) and throughout the execution and QA phase (January to June 2027).
- Preparation phase
- Redesign of the Credit Risk and ESG methodologies, incorporating the changes introduced for the 2027 exercise and conducting an impact assessment of the current processes.
- Implementation of the required methodological and data changes, including adapting data sources and data extraction and transformation processes, projection models and methodologies, as well as reporting, and integrating these changes into the tools used to execute the exercise.
- Execution of a Dry Run prior to the exercise.
- Coordination, challenge, and regulatory compliance throughout the preparation phase.
- Execution and QA Phase
- Support in preparing the different templates, including input data collection, projection development and drafting of the methodological note.
- Support throughout the data quality and quality assurance phases, including the preparation of responses to supervisory requests and the development of supporting rationales to address observations received.
- PMO support to coordinate the different areas involved, consolidate information and ensure compliance with the exercise’s internal governance requirements.