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3rd EBA Policy Research Workshop Summary

Workshop Overview

The 3rd EBA Policy Research Workshop was held in London from 25 to 26 November 2014, with the central theme of "How to measure the riskiness of banks?". The event aimed to bring together economists from national supervisory authorities and leading academics to discuss the measurement of bank riskiness in a consistent and effective manner.

Core Content and Objectives

The workshop was motivated by the shift in the prudential framework following the introduction of Basel II, which emphasized risk-sensitive approaches in calculating own funds requirements. This shift led to a loss of comparability across banks, prompting the development of the leverage ratio as a more straightforward measure.

The core objective of the workshop was to explore how to accurately measure bank riskiness while balancing risk sensitivity, comparability, and simplicity in the regulatory framework. The discussion focused on the need to either introduce simpler prudential measures or supplement existing ones with alternative methods to ensure consistent implementation across institutions.

Main Topics and Research Areas

The workshop invited submissions of policy-oriented research papers, with a preference for empirical studies. The following topics were highlighted for consideration:

• Use of internal models: Including benchmarking of models to assess their effectiveness and consistency.
• Predictive power of risk models: Evaluating how well current models forecast bank risk.
• Balancing risk sensitivity and comparability: Addressing the trade-off between detailed risk assessment and the need for uniformity across banks.
• Accounting vs prudential risk models: Comparing the approaches used in financial reporting with those used in regulatory capital calculations.
• Stress testing approaches: Examining how stress tests can be used to measure and manage bank risk.
• Measuring systemic risk: Investigating the tools and methodologies for assessing the risk of systemic failures.
• Liquidity risks: Focusing on the measurement and management of liquidity risk in banks.
• Measuring risk for contributions to DGS and resolution funds: Analyzing the role of risk measurement in determining contributions to Deposit Guarantee Schemes (DGS) and resolution funds.
• Operational risk: Including conduct risk, which refers to risks arising from the behavior of bank employees or management.

Submission Details

• Submission deadline: 28 July 2014
• Submission email: research.conferences@eba.europa.eu
• Notification date: Early October 2014
• Target audience: Researchers from supervisory authorities and central banks were particularly encouraged to submit their work, as well as leading academics in the field of banking and finance.

Programme Committee

The workshop was organized by a distinguished Programme Committee, which included the following experts:

• Klaus Duellmann – European Central Bank (ECB)
• David T. Llewellyn – Loughborough University and Chair of the EBA Banking Stakeholder Group
• Lampros Kalyvas – European Banking Authority (EBA)
• Lars Overby – EBA
• Mario Quagliariello – EBA
• Jesus Saurina – Banco de España
• Iman van Lelyveld – DNB/BIS
• Martin Summer – Oesterreichische Nationalbank (OenB)
• Andrea Resti – Bocconi University

These individuals represented a mix of regulatory bodies and academic institutions, ensuring a comprehensive and balanced discussion on the topic.

Key Takeaways

• The need for consistent and accurate risk measurement is critical in modern banking regulation.
• Basel II introduced a more risk-sensitive approach, but this led to comparability issues.
• The leverage ratio was introduced to address these issues.
• The workshop aimed to bridge the gap between risk sensitivity and regulatory simplicity.
• A wide range of risk measurement topics were considered, including systemic risk, liquidity risk, and operational risk.