Methodological Note on 2016 EU Banking Sector Stress Tests published by European Banking Authority
The European Banking Authority published a Methodological Note on the 2016 EU banking sector stress tests and asset review on 24 February. The note covers credit risk; market risk, counterparty credit risk (CCR) and credit value adjustment (CVA); conduct risk and other operational risks; and non-interest income, expenses and capital. There are four tabular annexes: a list of banks in the sample; stress test template overview; summary of qualitative information to be provided by banks; and a summary of key constraints and other quantitative requirements. The EBA Methodological Note has been linked from the EUI Library ECB data resource page. EUI members have access to the Bankscope (BvD) global public and private banking sector database.
In November 2015, the European Banking Authority published underying data from the EU-wide transparency exercise, providing data on “capital positions, risk exposure amounts and asset quality on 105 banks from 21 countries of the European Union (EU) and the European Economic Area (EEA).”
The ECB published a guide to the Public Sector Purchase Programme of quantitative easing in March 2015.
The results of the European banking sector asset quality review and stress tests were published in October 2014. The aggregate report covers 130 banks in 19 countries (then Euro area plus Lithuania). The assessments cover 81.6% of banking assets regulated by the ECB under the Single Supervisory Mechanism. A YouTube video explains methodologies used in the ‘Aggregate Report on the Comprehensive Assessment.’
EUI members have access to data on European public and private banks via the Bankscope database.