Europejski Urząd Nadzoru Bankowego, Raport EBA dot. analizy porównawczej ryzyka rynkowego w 2021 r.

1. This report presents the results of the 2021 supervisory benchmarking exercise pursuant to Article 78 of the Capital Requirements Directive (CRD) and the related regulatory and implementing technical standards (RTS and ITS) that define the scope, procedures and portfolios for benchmarking internal models for market risk (MR).

2. The report summarises the conclusions drawn from a hypothetical portfolio exercise (HPE) conducted by the EBA during 2020/21. The primary objective of the exercise is to assess the level of variability observed in risk-weighted assets (RWA) for market risk produced by banks’ internal models.

3. The exercise was performed on a sample of 40 European banks from 13 jurisdictions. The relevant institutions submitted data for 73 instruments recombined into 59 market portfolios across all major asset classes, i.e. equity (EQ), interest rates (IR), foreign exchange (FX), commodities (CO)...