Transcription of Methodological Note - European Banking Authority
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2021 EU-WIDE STRESS TEST Methodological NOTE 2021 EU-Wide Stress Test Methodological Note 29 January 2021 2021 EU-WIDE STRESS TEST Methodological NOTE 2 Contents List of tables 5 List of boxes 7 Abbreviations 9 1. Introduction 12 Background 12 Objectives of this note 12 Key aspects 13 Sample of banks 13 Scope of consolidation 13 Macroeconomic scenarios and risk type specific shocks 14 Time horizon and reference date 15 Regulatory regime and definition of capital 15 Hurdle rates 16 Accounting and tax regime 16 Static balance sheet assumption 16 Approach 17 Risk coverage 17 Process 18 Overview of the methodology by risk type 19 2.
Overview of the methodology by risk type 19 2. Credit risk 25 2.1. Overview 25 2.2. Scope 27 ... Projected point-in-time parameters (a hierarchy of approaches) 45 2.4.3. Calculation of non-performing assets and provisions 49 a. Stock of provisions 49 ... ABS asset-backed security ALM asset and liability management AMA advanced measurement ...
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