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3rd EBA Policy Research Workshop Summary

Event Overview

The 3rd EBA Policy Research Workshop was held in London on 25–26 November 2014, with the central theme of "How to measure the riskiness of banks?". The workshop aimed to address the evolving challenges in the prudential regulation of banks, particularly in the context of the Basel II framework, which introduced a more risk-sensitive approach to calculating own funds requirements.

Core Content and Objectives

The introduction of Basel II emphasized the use of internal models to assess bank risk, leading to a loss of comparability across institutions. This issue has driven the development of the leverage ratio as a simpler, more uniform measure. The workshop focused on the need to balance risk sensitivity with comparability and simplicity in prudential measures. It aimed to explore ways to accurately measure bank risk, either by introducing simpler measures or by enhancing the existing framework with alternative tools.

Key areas of interest included:

• The role and effectiveness of internal models
• The predictive power of risk models
• Balancing risk sensitivity with comparability and simplicity
• Accounting vs prudential risk models
• Stress testing approaches
• Measuring systemic risk
• Liquidity risk
• Risk measurement for contributions to DGS and resolution funds
• Operational risk, including conduct risk

The workshop sought to bring together economists from national supervisory authorities and leading academics to discuss these topics and share insights on improving the measurement of bank risk.

Call for Papers

The organizers invited policy-oriented research papers, with a preference for empirical studies. Researchers from supervisory authorities and central banks were especially encouraged to submit their work. Topics of interest included the ones listed above.

• Submission deadline: 28 July 2014
• Submission email: research.conferences@eba.europa.eu
• Notification date: Early October 2014

Programme Committee

The workshop was organized by a distinguished Programme Committee comprising experts from both regulatory and academic backgrounds:

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

These individuals played a key role in shaping the agenda and ensuring the relevance and rigor of the discussions.

Conclusion

The workshop underscored the importance of accurate and consistent risk measurement in the banking sector. It highlighted the need for a balanced regulatory framework that is both risk-sensitive and comparable across institutions, while also emphasizing the value of empirical research and interdisciplinary collaboration. The discussions aimed to inform future policy developments and improve the resilience of the banking system.