Documentos y artículos

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A&M Summary of ECB Draft Guidance on Leveraged Transactions

A&M summary and main ideas regarding ECB Draft Guidance on Leveraged Transactions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Draft Guidance to Banks on Non-Performing Loans – European Central Bank – September 2016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.

Credit Risk Models at Major U.S. Banking Institutions: Current State of the Art and Implications for Assessments of Capital Adequacy

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)

Credit Valuation (O Vasicek)