EBA欧洲银行-Public-Hearing-on-reviewing-the-Stress-Test-Guidelines-29-February-2016_10页_1mb

报告摘要

Summary of GL on Stress Testing and Supervisory Stress Testing

Core Content

The European Banking Authority (EBA) conducted a public hearing on 29 February 2016 to review the stress testing guidelines (GL) and align them with the evolving regulatory landscape. The summary outlines key aspects of the updated guidelines, including taxonomy, data infrastructure, individual risk areas, reverse stress testing, and the integration of stress testing into Supervisory Review and Evaluation Process (SREP).

Main Views and Key Information

1. Taxonomy Development

The creation of a clear taxonomy is a foundational step in reviewing stress test guidelines.
Key terms are defined to ensure consistent understanding across institutions and supervisors:
- Bottom-up stress test: Focuses on individual assets or liabilities.
- Top-down stress test: Analyzes the institution as a whole.
- Static balance sheet assumption: Uses a fixed balance sheet for analysis.
- Dynamic balance sheet assumption: Considers changes in the balance sheet over time.
- Sensitivity analysis: Evaluates how changes in variables affect outcomes.
- Scenario analysis: Assesses the impact of specific hypothetical events.
- Reverse stress test: Identifies scenarios that could lead to failure.
- Severity of scenario: Measures the impact of a stress event.
- Plausibility of scenario: Assesses the likelihood of a scenario occurring.
- Risk data aggregation: Collecting and consolidating risk data.
- Data infrastructure: Ensuring accurate, timely, and flexible data collection and reporting.

2. Alignment with Basel Principles

The EBA's guidelines are aligned with Basel III principles, particularly BCBS 239, which focuses on risk data aggregation and risk reporting.
Emphasis is placed on:
- Accurate and timely data aggregation.
- Clear and tailored reporting for internal and external stakeholders.
- Automated data aggregation to reduce errors.
- Ability to produce aggregate risk information in a timely manner to meet reporting needs.

3. Individual Risk Areas

The guidelines now include specific risk areas as an integral part, not just as annexes.
Key risk areas include:
- Credit and counterparty risk
- Securitisation
- Market risk
- Operational risk
- Conduct-related risk and associated litigation costs
- Liquidity risk
- Interest rate risk from non-trading activities
- Concentration risk
- FX lending risk
These areas are updated to align with the SREP guidelines, incorporating new regulatory requirements such as LCR and NSFR.

4. Reverse Stress Testing

Reverse stress testing is emphasized as a regular risk management tool, similar to ICAAP and ILAAP.
It should be conducted institution-wide and cover all relevant risk types.
It is used to:
- Identify non-viable business models.
- Inform and test the effectiveness of recovery actions and plans.
- Analyze sensitivities around assumptions.
The process must be governed by the same quality standards as other stress tests and should be proportional to the institution's size and complexity.

5. Integration with SREP

Supervisory stress testing is a critical input for the SREP process.
The guidelines clarify that credit assessment authorities (CAs) should ensure institutions submit a credible capital plan that addresses the risk of not meeting the Total Capital Requirement (TSCR).
Stress testing is used for:
- Risk assessment (Section 5).
- Quantitative outcomes of solvency stress tests (Section 7).
The outcomes of stress tests should ensure that institutions can meet:
- OCR (Own Capital Requirement) under baseline scenarios over a two-year horizon.
- TSCR under adverse scenarios over a two-year horizon.
- Any other pre-defined target ratios set by competent authorities.

6. Economic Cycle Considerations

Stress tests must be reviewed with regard to the economic cycle.
Institutions should use their own funds at the start of the stress scenario as the baseline.
Macroprudential assumptions (e.g., changes in requirements or buffer usage) should be discussed with the relevant macroprudential authority.
The combined capital buffer may be breached under adverse scenarios, but not under baseline scenarios.

7. Illustrative Example

An illustrative example is provided to demonstrate the application of stress testing outcomes in SREP.
It shows how stress test results are used to evaluate the institution's ability to meet capital requirements over a forward-looking time horizon.