European Banking Authority (EBA) – annual report: main achievements and overview of key priorities

The EBA Annual Report was published on the 15th of June 2022, highlighting the main achievements made in 2021, providing an overview of the key priorities for the coming year. The key achievements were, amongst others, the ability to reprioritise tasks and quickly adapt to extreme external events (e.g., COVID-19) and to also reflect the high importance of emerging topics such as digital finance and ESG matters.

The 2021 biennial EU-wide stress test exercise, assessing the resilience of financial institutions to adverse market developments, with particular focus on COVID-19 crisis, has also been successfully carried out.

The key priorities of the coming year, related to Quantitative Risk are the following:

  • preparing the Implementation of CRD VI – CRR III
  • finalising the framework for IRRBB (GL on IRRBB and CSRBB will replace the current GLs 2018)
  • preparing for the 2023 EBA EU-wide stress test (expected methodology in Q4 2022)
  • revision of the EBA EU-wide stress test methodology, in more detail:
    • enlargement of the sample to include a broader risk coverage at the EU level and a wider geographical representation
    • gradual introduction of a hybrid framework in which top-down and bottom-up methods applied to different risk areas would co-exist
  • exploring ways to embed climate risk into stress testing framework
  • providing tools to measure and manage ESG risks:
    • consulting on the role of Environmental Risks in the Pillar I Framework
    • developing further guidelines on ESG risk assessment.

The Grant Thornton Quantitative Risk Advisory Team has a proven track record of success in meeting the most challenging of tasks for Institutions, local banks, and other FS companies.