Transcription of Methodological Note - European Banking Authority
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Methodological Note - European Banking Authority
2021 EU-WIDE STRESS TEST Methodological NOTE 2021 EU-Wide Stress Test Methodological Note 13 November 2020 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. Credit risk 25 overview 25 Scope 27 High-level assumptions and definitions 27 Definitions 28 Static balance sheet assumption 36 Asset classes 38 Reporting requirements 40 Impact on P&L 44 Starting point-in-time risk parameters (a hierarchy of approaches) 44 Projected point-in-time parameters (a hierarchy of approaches) 45 Calculation of no
Overview of the methodology by risk type 19 2. Credit risk 25 2.1. Overview 25 2.2. Scope 27 2.3. High-level assumptions and definitions 27 2.3.1. Definitions 28 ... COREP common reporting framework CQS credit quality step CRD Capital Requirements …
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