NUEVO
Guidelines for counterparty credit risk management – Documento a consultas (BCBS – abril 2024)
Análisis del mercado residencial en España: tendencias y retos para 2024 (enero 2024)
Tendencias del Sector Inmobiliario (vivienda nueva) (enero 2024)
IFRS 9 Implementation by EU Institutions – 2023 Monitoring Report (EBA – noviembre 2023)
Sound practices in counterparty credit risk governance and management (ECB – octubre 2023)
Informe de Tendencias del Sector Inmobiliario – 3T 2023 (octubre 2023)
Sovereign portfolio composition and bank risk: the case of European banks (BdE – Documentos de trabajo – Septiembre 2023)
Credit Risk Level SREP methodology (ECB – mayo 2023)
Boosting MDB’s investing capacity – Takeaways from the G20 independent Review (abril 2023)
Informe de Tendencias del Sector Inmobiliario – 1T 2023 (abril 2023)
A practical Guide to the Valuation of Coupon-Bearing Fixed Income Securities (febrero 2023)
2023 commercial real estate outlook (2022)
Reference Rate Reform – The LIBOR endgame non-event (enero 2022)
Credit risk Coverage Benchmarking as a Risk management Tool (ene-22)
“Provisioning for a clean balance sheet” (Elizabeth McCaul, ECB – Supervision blog – 30/11/21)
https://www.bankingsupervision.europa.eu/press/blog/2021/html/ssm.blog211130~197b6007ce.en.html
Resolution strategies for non-performing loans in the post-COVID-19 landscape (2021)
Credit risk: Acting now paves the way for sound resilience later (Blog supervision del ECB – julio 2021)
https://www.bankingsupervision.europa.eu/press/blog/2021/html/ssm.blog210719~eaa6927766.en.html
Asincronía entre la morosidad y el coste de riesgo (junio-2021)
EBA Risk Dashboard – Q1 2021: Risk dashboard
2021 EU Wide Stress Test Launch (enero 2021)
Models Broken – Sailing through Covid-19 towards a Model Strategic Plan (mayo 2021)
Impactos y Soluciones de Solvencia ante la covid-19 (abril 2021)
Prioridad supervisora para 2021: la vigilancia del riesgo de crédito
It provides an overview of the state of the regtech market and developments that are emerging in the financial industry.
EBA Report results from the 2018 Credit Risk Benchmarking Report
This report presents the results of the 2018 supervisory benchmarking (SVB) exercise for both high default portfolios (HDPs) and low default portfolios (LDPs).
Final Report on EBA GL on High Risk
Specification of types of exposures to be associated with high risk
Risk Assessment Report December 2018
Provides an annual update on risks and vulnerabilities in the EU banking sector. Describes main developments and trends that affect the EU banking sector and provide the EBA’s outlook on the main micro-prudential risks and vulnerabilities.
2018 EBA ST Results – A&M First Glance at Results Analysis
A&M Summary of Results of the 2018 EBA Stress Test, with a detailed analysis of EU countries and banks
2018 European Banks Stress Test – It’s all about IFRS9
A&M summary of what to expect from the upcoming 2018 EBA Stress Test, which brings IFRS9 into play
A&M Thoughts in IFRS9 Planning and Stress Testing
A&M’s main thoughts on IFRS9 implementation and impact in bank accounting and credit risk management
A&M Comments NPL Guidelines Consultation Paper
A&M reponse to NPLs guidelines consultation paper
A&M Summary of ECB Draft Guidance on Leveraged Transactions
A&M summary and main ideas regarding ECB Draft Guidance on Leveraged Transactions
NPA Benchmark Analysis Spain 2017Q1
The benchmark analysis mainly focuses on the evolution of non-performing assets in Spain and most important ratios describing such trends
A&M Rethinking Banking: How to Fit Bank Business Models to Regulatory Constraints
This paper explores ways to rethink banking strategies and business models in the context of multiple regulatory rules that constrain bank balance sheets and activities.
Draft Guidance to Banks on Non-Performing Loans – European Central Bank – September 2016
El documento describe las nuevas guías de gestión para las entidades bancarias con respecto a activos no productivos, enfocándose en tres puntos principales:
1) Estrategia
2) Governance
3) Ejecución
2016 EBA Stress Test Results – First Glance at Results – By Alvarez & Marsal
Análisis en profundidad de los últimos resultados del Stress Test llevado a cabo en 2016, incluyendo un desglose a nivel país y entidad bancaria.
Rethinking Banking – 2015 Regulatory Fitting Results and Perspectives
Análisis enfocado en la gestión de requerimientos regulatorios para optimizar resultados en métricas de capital, liquidez, resolución y riesgos.
EBA ECB 2016 – Methodology is Out
Análisis de metodología EBA-ECB test de estrés 2016. Atributos y cambios en los procesos para la medición del impacto en diferentes tipos de riesgo.
EU-wide Stress Test 2016 Methodology by EBA
Documento metodológico publicado por EBA, dirigido a los bancos para el cálculo del impacto de los escenarios de estrés, proporcionando orientación y apoyo en la realización de stress tests.
Guidelines on stress testing and supervisory stress testing by EBA
Documento de consulta publicado por EBA, que tiene como objetivo la convergencia de las prácticas de estrés realizadas entre las entidades bancarias y autoridades supervisoras europeas en el marco de SREP. Incluye una guía detallada del diseño y realización de un programa de estrés.
Portfolio Credit Risk (T. Wilson)
Modelling Dependent Defaults: Asset Correlations Are not Enough (R Frey, A McNeil, M Nyfeler)
Simulating Correlated Defaults (D Duffier, K Singleton)
Credit Portfolio Management (T Garside, H Stott, A Stevens)
Principles for the Management of Credit Risk (Basel Comm. on Banking Supervision)
Debt: A Factor of Both “Good” and “Bad” Stress During an Economic Recession: Evidence from France
Credit Ratings and Complementary Sources of Credit Quality Information
Credit Risk Modelling: Current Practices and Applications
Some Elements of Rating-Based Credit Risk Modeling (D Lando)