EBA欧洲银行-cebs431_Austrian-Federal-Economic-Chamber-28WKO29_1页_86kb

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

Core Content

The document is a response to the CEBS (Committee of European Banking Supervisors) Consultation Paper on the technical aspects of diversification under Pillar 2 of the Basel II framework. It is submitted by the Austrian Federal Economic Chamber, representing the entire Austrian Banking Industry, and outlines the industry's perspective on the challenges and considerations related to the implementation of the ICAAP (Internal Capital Adequacy Assessment Process) model for diversification.

Main Points

• ICAAP Model Standards: The paper sets high standards for the ICAAP model, verification, and validation. The Austrian Banking Industry acknowledges these standards but suggests that they should be approached with caution, especially since ICAAP is still an emerging topic and industry standards are not yet fully developed.

• Data Instability: The industry highlights that data instability is a significant challenge for banks. Even with perfect data quality, statistical issues such as bias and variance can affect model performance. Complex models may have low bias but high variance due to limited data, making them less reliable. In such scenarios, simpler models with higher bias but lower variance may be more practical and stable.

• Diversification Requirements: The document raises concerns about the clarity of diversification requirements and expectations, particularly in distinguishing between intrarisk and interrisk diversification. Some requirements may be overly stringent when applied to diversification among different risk types, potentially leading to unnecessary complexity and difficulty in implementation.

Key Information

• Sender: Austrian Federal Economic Chamber, Division Bank and Insurance
• Contact: Cp20@c-ebs.org, Ebsbv@wko.at
• Website: http://wko.at/bsbv
• Date: 1st of September, 2008
• Reference: BSBV 115/Dr.Ru/Br/Na
• Person in Charge: Dr. Herbert Pichler, Managing Director of the Division Bank & Insurance

Conclusion

The Austrian Banking Industry appreciates the opportunity to provide feedback on the CEBS Consultation Paper. They emphasize the need for a balanced approach in setting requirements for ICAAP models, taking into account the practical challenges of data availability and model stability. The industry also calls for greater clarity in the document regarding the distinction between intrarisk and interrisk diversification, and the appropriateness of requirements in different contexts.