EBA欧洲银行-2008-09-08-CEBS-CP20-on-Diversification-28N-Lock29_17页_292kb

报告摘要

CEBS Consultation Paper on Technical Aspects of Diversification under Pillar 2 – CP20 Summary

Core Content

The CEBS Consultation Paper on Technical Aspects of Diversification under Pillar 2 (CP20) is a document aimed at guiding European banking supervisors in evaluating the diversification effects within economic capital models (ECMs) used for Internal Capital Adequacy Assessment Process (ICAAP) purposes. It is part of the broader Supervisory Review and Evaluation Process (SREP) framework.

The paper focuses on the qualitative aspects of diversification modeling rather than providing quantitative guidance. It emphasizes the importance of understanding the firm's internal capital models and processes, as supervisors are not responsible for validating them but must be able to assess their implications.

Main Points

Background: The CP20 was initiated following discussions in the Industry Platform on Operational Networks (June 2007) and the establishment of the Pillar 2 Convergence Network (P2CN) in October 2007. It was published for public consultation in June 2008 and had a consultation period ending on 31 October 2008.
Focus: The paper provides non-binding and non-exhaustive recommendations to supervisors regarding the evaluation of diversification effects in ECMs. It is intended to be a flexible tool for dialogue with banks during the ICAAP-SREP process.
Supervisory Approach: The recommendations are meant to serve as a background for assessing diversification effects, not as a definitive set of guidelines. Supervisors are encouraged to use their judgment in applying these principles.
Structure: The paper is organized into several key sections, including general principles, methodology, data quality, correlations, vendor models, internal model validation, governance, and the comparison between Pillar 1 and Pillar 2 calculations.

Key Sections

1. General Principles / Issues for Supervisory Consideration

Methodology and Documentation: Supervisors should assess the clarity and completeness of the methodology and documentation used by banks.
Scope and Structure of the Model: Understanding the scope and structure of the model is essential to evaluate its relevance and appropriateness.
Data and Time Series: Availability and quality of data series are critical for accurate modeling.
Correlations: Proper assessment of correlations between different risk factors is necessary.
Vendor Models: The use of vendor models and third-party parameters should be scrutinized.
Reliability and Conservatism: The methodology must be reliable and conservative.
Internal Model Validation: Banks should ensure their models are validated internally.
Governance and Reporting: The governance structure and decision-making process should be transparent and well-documented.
Comparison with Pillar 1: Understanding the differences between Pillar 1 and Pillar 2 calculations is important for supervisory evaluation.

2. Field Testing and Follow-Up

Supervisors currently lack sufficient experience with actual diversification claims, so field testing is essential.
The principles and questions will be tested in the CEBS ECM examination project.
The P2CN will monitor future developments and may revise the document in 2009 based on the results.

3. Follow-Up Actions

The public consultation period ended on 31 October 2008.
Comments were to be sent to cp20@c-ebs.org and would be published on the CEBS website unless otherwise requested.
The final version of the document was expected to be endorsed in December 2008.

Key Information

The paper is a consultation document, not a binding regulation.
It is intended to support dialogue between banks and supervisors during the ICAAP-SREP process.
No definitive answers are provided for the questions; they are meant to stimulate discussion and reflection.
The focus is on understanding the qualitative aspects of diversification modeling rather than quantifying it.

Summary of Sections

Section	Focus
1. General Principles	Supervisory considerations for evaluating diversification effects
2. Methodology and Documentation	Review of model documentation and methodology
3. Scope and Model Structure	Understanding the scope and structure of the ECM
4. Data Series	Assessing data availability and quality
5. Correlations	Evaluating the correlation assumptions in the model
6. Vendor Models	Review of third-party models and parameters
7. Reliability and Conservatism	Ensuring model robustness and conservative approach
8. Internal Model Validation	Importance of internal validation processes
9. Governance and Reporting	Review of governance structures and reporting mechanisms
10. Pillar 1 vs Pillar 2	Understanding and comparing regulatory and internal capital calculations
11. Group Dimension	Consideration of group-wide diversification effects

Conclusion

CP20 represents an important step in the development of supervisory practices related to diversification effects in internal capital models. It encourages a dialogue-based approach, emphasizing understanding and qualitative assessment over rigid quantitative rules. The document is a foundation for future field testing and revisions, aiming to improve the consistency and effectiveness of Pillar 2 implementation across European banking institutions.