The new 2018 EBA EU-wide stress test exercise is similar to previous exercises for what concerns the employed methodology. The major change compared to the 2016 exercise is the inclusion of the new international accounting standards, which contributes to the increased severity of the exercise. The methodology incorporates several measures to guarantee internal consistency. However, despite all the progress made in designing the exercise, there remain critical areas concerning the application of a static-balance sheet assumption, the under-representation of liquidity risk and the implications of the lack of a fail-pass threshold. Improvements in these areas can enhance reliability of stress test results and empower their role as external and internal communication tools.

How demanding and consistent is the 2018 stress test design in comparison to previous exercises?

Brunella Bruno;Elena Carletti
2018

Abstract

The new 2018 EBA EU-wide stress test exercise is similar to previous exercises for what concerns the employed methodology. The major change compared to the 2016 exercise is the inclusion of the new international accounting standards, which contributes to the increased severity of the exercise. The methodology incorporates several measures to guarantee internal consistency. However, despite all the progress made in designing the exercise, there remain critical areas concerning the application of a static-balance sheet assumption, the under-representation of liquidity risk and the implications of the lack of a fail-pass threshold. Improvements in these areas can enhance reliability of stress test results and empower their role as external and internal communication tools.
File in questo prodotto:
File Dimensione Formato  
IPOL_IDA(2018)614520_EN.pdf

accesso aperto

Descrizione: Articolo principale
Tipologia: Pdf editoriale (Publisher's layout)
Licenza: PUBBLICO DOMINIO
Dimensione 451.76 kB
Formato Adobe PDF
451.76 kB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/4023006
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact